Diffie-Hellman Key Exchange with Authentication: Man-in-the-Middle query
Firstly, PKI makes use of a private key and a public key. The private key is known only to the user, while the public key is communicated securely via the use of certificates. To provide authentication and non-repudiation, users may sign a message with their private keys and obtain a digital signature. Any other users can verify that the signed signature is authentic by "decrypting" it with the claimed user's public keys.

So to answer your questions:


Mallory is unable to intercept the negotiated session key due to the Diffie–Hellman problem whereby it is hard to compute $g^{ab}$ given $g^a$ and $g^b$. He is unable to impersonate Bob if he does not prossess Bob's private keys.
Yes, your are correct. Mallory can only eavesdrop the encrypted ciphertext and is unable to learn its contents.
No, Mallory is unable to obtain the session key (of the communication between Alice and Bob) even if he has knowledge of Bob's private keys due to the Diffie–Hellman problem. Mallory is able to impersonate Bob when communicating to Alice but unable to impersonate Alice with communicating to Bob. However, if Mallory has access to both Alice and Bob's private keys then a MiTM attack is possible.
No, Bob has to change his public-private key pair including his certificate unless there is 2-factor authentication in place (e.g. via voice/text message or tokens).


Hope this helps.