Hi!
1. There's no hard level cap, but I'd guess at some point, it'd become a real chore to level further. 35-40ish is good for the endgame.
2. The little icons are: 1. Number of treasures in the current area, 2. Number of adult scenes to get in the area, 3. Number of Masters to find in the current area. They're not 100% reliable and may update once you re-enter the scene in some edge cases, but they should work most of the time.
3. Difficulty changes the damage dealt and received: Factor 0.75 for Easy, 1.00 for Normal and 1.25 for Difficult.