(1) Thank goodness you didn't bake it.
If you're new to Spine, or new to Unity, absolutely do not use Baking.
It was originally created as a workaround for the Asset Store, and it remains an advanced feature (for people looking to sacrifice Spine features for performance-on-a-case-by-case-basis like for environment animation or something.)
(2) This isn't a bug. You probably have the expectation of it creating a prefab for you from the old video.
The new version doesn't do that anymore. It leaves generating prefabs up to you 'cause not everyone needs prefabs for every single Spine skeleton they import.
(3) Yes, right click on the SkeletonDataAsset (the asset with the Spine icon) and choose one of the Instantiate options.