No you can't do that. Intro posts live right where you see them. There is no other page to link to. If you try to link to an intro post you actually see the category! And if you want to leave a comment it is on the category page too. See this page for example: http://b2evolution.net/man/back-office-reference/

Not quite.
It depends on how your front page is configured and what skin you are using. If your front page shows recent posts by default, for example, all article titles will will be hyperlinked by default as well.
That said, I never quite understood the concept of featured posts, because it did not result in anything in particular (at least not in my setting / skin).
Maybe FP can elaborate.

It confused me intitally as well. They don't show on the Recent Posts-type page as far as I remember from my early trials.

In the Bootstrap Blog skin I use Special Frontpage + Featured/Intro Post and Featured Posts widgets to leverage the featured post options. That works a treat. It keeps the featured posts on top of other regular recent posts (Simple Post list widget w/o feature status) on the page. By limiting the number of featured posts to 3 or something, you can make that section precious and relevant.
Also, Featured Posts (but not the Intro posts) from any blog will pop up in the Featured Posts widget on your home page if it's a Main-type page. That's pretty cool, as it basically keeps my home page ticking over with new content effortlessly.

@gerardp The demo site is full of featured posts that show up differently.