1) Yes. Arrogance works like a mass band but with enhancements. You play as many as you want and then activate them in the order you want. As long as an EC of matching brigade is in battle you're golden. This has been ruled many time.
2) They're not technically CBN. A card like Benaiah Snatches a Spear could negate them, because they target "an" enhancement, rather than the last enhancement
2b) The last card you play and any cards causing your opponent to lose by removal can be interrupted by an Interrupt the Battle ability. The last card could also be targeted by a Negate Last ability. (The secret is to end with an End The Battle ability, then they can't do anything!
3) No. Cards have to complete in order, once Arrogance is played, it and everything after it must complete before your opponent or you can play any dominants.