1) I have never seen any official information, but various people close to the LR development team indicated at numerous occasions that LR is internally using color space that they named Melissa, which has gamut of ProPhoto RGB, but different gamma.
2) No devices support entire ProPhoto RGB, but many, especially modern inkjet printers, exceed sRGB and even AdobeRGB in different colors. When using these small gamut color spaces, you lose the ability to print these colors. The visual differences are subtle, though. Even if you finally convert to sRGB for web use, using larger color spaces may be beneficial, because you have control over how are the out of gamut colors toned down. If you use sRGB workflow, these colors will be just clipped.
3) This is normal. There are several reasons:
- Your monitor is most likely only capable of displaying sRGB colors
- You can only see a difference if you actually have an image that has those colors that sRGB can't show. Many times sRGB is enough so there is nothing to see
- Even if you have such colors and a way to display them, the differences are often subtle. Next time when you see an image of vivid flowers on the internet, note that they are sometimes totally lacking detail inside of the most saturated areas. This is a sign of out of gamut colors.
The picture below shows gamut of a randomly picked portrait picture from my LR catalog. First is in ProPhoto, second in sRGB and third in my printer's color space. Note how is the sRGB clipped and how is the printer gamut larger than sRGB. This is even more interesting with nature shots with natural foliage green. The triangles represent sRGB and ProPhoto RGB color spaces