Connectors in high volume manufacturing?
Panel is for holding the PCBs so the machine assembly can be performed. So, yes, your panel has to have extra space and/or opposing PCB needs to have space to fit the connectors and other parts overreaching the PCB. 

TH parts are machine assembled by wave soldering. WRT pick'n'place machine, yes, sometimes, depends. 

Some irregular parts come with a plastic holder that the machine can easily grip.