each pair in J2, J3 & J4 should have jumpers,
You may also want jumpers on all the pairs in “D1 select” and “LED1-PXL”, and a single jumper between “3.3v & P” in the 3-pin jumper in the corner.
Doesn’t matter. I just keep mine plugged in all the time.
Make sure to check the pintout of the st-link though. Some don’t match the breakout board, and then you can’t just use a flat cable.
It needs a board-specific config file if that’s what you mean.
Try checking this thread for how to invoke OpenOCD: Running a debugger
tests.cpp are unit tests, and not what you want for this.
What you want is scripts/proffieboard_test_script.h, which is enabled by including it in ProffieOS.ino. It does blinks the leds, plays sounds and asks you to press the buttons to make sure that things are working.
Touch the two leads together and make sure it actually beeps. 
The instructions below specify how to actually use it. I learned the hard way to always measure GND ↔ batt+ for shorts before plugging in a battery.