Unlike other data in iCloud, if you lose your devices you lose your HealthKit data. This is not true for photos or emails, for example - which you keep if you lose your devices.
Apple does have a separate opt-in “Research” program to facilitate this kind of thing.
No it's not.
There is no evidence whatsoever that Apple is doing anything other than facilitating ads through their News, App Store, Maps etc properties.
Their revenue will be an insignificant fraction of Facebook, Google etc.
But unless they’re doing some voodoo magic then yes the data is leaving is your device in some form. Hence why I can view every heartbeat (aggregated by the minute) since I put on the original Apple Watch in 2015 despite changing all my devices and only restoring from iCloud. Indeed I expect it’s just part of your iCloud data storage.
Actually I just launched the health app now and I can see the app explicitly asks if you want to allow sharing your data with apple, so if you say ‘yes’ then you’re not only storing but allowing apple to query your data (minus PII).