Based on your questioning, I would agree with Pete that you should study the subject before you waste resources. I mean starting with response surfaces which are typically optimization type designs before you understand the 1st order models and have a thorough understanding of the noise associated with the situation is inefficient and often ineffective.
Mark's answers are, of course, right on. I'll just add some thoughts to contemplate:
1. The situation you describe is actually the norm. We live in a multivariate world. There is most certainly a balance to optimization across multiple response variables. You should run Analyze>Multivariate Methods>Multivariate (put all of the Y's in). This will give Pearson correlation coefficients, and more importantly scatter plot matrices of the graphical relationships between response variables. This is also the answer to question 4.
2. Regarding hierarchy...think of it this way...If there is an active interaction that you want to take advantage of, you most certainly will want to manage both of the factors in that interaction. Of course if you set one of those (say A), then you would only need to manage the other (B) with respect to that setting of A. Adding the insignificant main effect into the model will likely result in a larger delta between your R-Square and R-Square adjusted and may decrease your p-values, but it is more important the model be realistic.
3. Ah, reasonable...My first step in analysis of ALL data is to determine if the results are off any practical value. Did the response variable change enough over the study to warrant statistical evaluation (I call this practical significance)? Was the experiment space representative of future conditions (a question of inference space)? If not, extrapolation is most certainly suspect. How was the noise (factors not specifically manipulated) handled during the experiment?
You can use the R-Square statistics (delta with emphasis on the R-Square Adjusted), RMSE, CV (across multiple Y's), p-values and residuals analysis to guide in model building.
"All models are wrong, some are useful" G.E.P. Box