Umm Ill try my best to answer those
1) Lord of Nightmares is the creator of everything, so is overgod to monsters as well.
2) Neither its more of an asexual entity I think
3) I think he/she is simply returning to the overworld
4) Yes
5) Because last time, she got taken over and was effectively destroyed, but Gourry's determination made the Lord of Nightmares change his mind and Lina got reborn. Also, the Lord of Nightmares might change his mind and destroy the world anyway.