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1) This means "hero-mage" or "hero-warrior." Warriors do not have access to third-level skills from the Magic branch, and mages do not have access to the Strength branch.
2) You don't necessarily need to create one; there are basic heroes, and more are added during campaigns. However, you need a hero to play in multiplayer.
3) Only if the mines haven't been captured before. Just look at the mine's display: it consists of an icon and an arrow. If only the arrow is lit, and the icon has a white outline, the mine needs to be visited. If both the arrow and the icon are colored with your color, then everything is fine.
4) There are already threads about this on the forum; search for them.