Yes it does (if you installed Magisk through the Magisk app and there is actually a backup)
You’ll likely have to push “Install” in the OTA updater, other than that, no special process needed
Step 3 patches the other slot (you are currently not using) directly, which is the slot you will be booted into after an OTA update. And to make the next OTA update painless as well, Magisk is creating a backup of that boot partition to restore later.
EDL is available, but that’s completely useless without an EDL loader / firehose file, we searched long and hard for one.
As long as no EDL loader leaks (which might happen at some point), a locked bootloader has the security advantage. But the downside is, compared to the FP3, you can no longer revive a bricked phone without sending it to Fairphone (Cordon).
Your data is still encrypted, but a thief can just wipe your phone and resell it, if they aren’t after your data.