I'm not sure what they mean in the MSDN article. Until you use any GUI functionality, everything will be fine - but this is a common problem when developing services.
With that said, ATL has functionality specifically designed to create IIRC services, so you might be better off using this.
To answer your questions (as far as I know):
1) the ones you indicated are not a problem.
2) I assume that they mean problems with synchronization with user interface components. As long as you don't use any CWnd-derived classes, you'll be fine.
3) do not understand the issue.
4) . , ATL , , . . CAtlServiceModuleT. - , CString MFC ATL , ATL . CArchive, , CObject, , ATL. "" .