What you need to do is make a (.android_secure) folder on your sd card and it will solve your problem for that. Im still getting sd -ext issue and havent resolved that one yet. I tried to make those folders too but didnt work. Hope that helps a little.
I think that means that you do not have any apps installed on the sd card.
I had the same thing when I run nandroid too.
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Thats kinda right and kinda not. It means that you did not partition your sdcard to ext2, ext3, or ext4 (for app2sd). It isnt harmful nor is it an error in any way. It doesnt mean you have to parttion, either.