I am not support, just a regular customer like you, but here is what I know:
1. Yes, serverless egress only applies to serverless. There is another upcoming change you'll need to make for your classic compute, announced by Microsoft at Default outbound access in Azure - Azure Virtual Network | Microsoft Learn and mentioned by Databricks in Enable secure cluster connectivity - Azure Databricks | Microsoft Learn.
2. Not sure. If the storage accounts are in Unity Catalog they will be automatically allowed. Likewise, if you're running classic compute this policy won't be applied. How did you try to resolve the domain--just a ping, or call an API?