There are many questions. I will try to answer some of them:
If you installed Pi-hole in a docker container in Windows, you need to start Docker Desktop and start the Pi-hole container to use it.
This depends on how you configured Docker Desktop for Windows.
If Docker Desktop is set to automatically start with Windows and the container is set to always restart, Pi-hole container will start automatically.
The difference is big.
Pi-hole cannot be executed directly on Windows (you will need docker).
In Windows (and also in MacOS) docker runs inside a special Virtual Machine.
This VM has it's own network configuration and it needs to translate the internal addresses to communicate with the host OS (Windows). This sometimes causes issues with host and macvlan network modes.
In Linux, you can run Pi-hole inside a docker container or directly on the Operating System.
For beginners, installing Pi-hole directly on Linux is usually easier.
Also, in Linux docker runs directly on the Operating System.
No, you don't need (Pi-hole installs one adlist by default), but you can add as many lists as you like.