A. If you have created a Purchase order then you need to create GRN otherwise the part will not be marked as received and you can not complete the process.
You can either click on purchase order reference and move to specify purchase order or you can add GRN from the manage purchase order.
A. Yes you can add special order for products as well, you can either create a PO for that product or directly receive them from a third party.
A. Yes you can delete the special order item if it's not received. once the special order item is marked as received then you can not delete it.