SQL Server Processor affinity with trace flag 8002 ON
Processor affinity should be set in the specific case that your workload fits into the processor cache. This would be rare in SQL Server but might happen when running analytics inside the DB e.g. with R
I believe that is correct, yes
No it does not - you would need to selectively set affinity for each workload. Typically if you had say 32 cores you might reserve 2 for the OS and divide up the others - but taking care to ensure that you keep cores and caches together. You could create a CPU set that uses a subset of cores on each CPU and kill performance with cross cache chatter! 


Generally I would advise against this unless you are very sure that you need it, and have a good understanding of the underlying hardware, how its NUMA boards are arranged, etc. You won’t damage anything but you can degrade performance quite badly. If you need to segregate workloads, then a better option on a modern system is to use Hyper-V in 99% of use cases.

Note also that affinity masks will be deprecated anyway and the new method is NUMA-aware.