Most people don't write file paths. Only a concern for programmers, who should be fine escaping them by whatever mechanism.
Since when?
I will say that forward slashes are still more common in regular english text even among non-programmers than underscores. For example, listing options a/b/c.
And you know, URLs.
Only if the intent is for the URL to be copy/pasted, otherwise you enclose the URL in <url> or [text](url) to make it clickable.