Where are the servers located?


It depends. There are a little over 50% of games being played on distributed servers and the rest are being hosted on the East coast of the US currently.
The site uses a lag compensation method that forgives a portion but members experiencing higher amounts of lag can lose time due to the lag

You can't and it's only once you start a game when it happens.
That said, it looks like you mostly play Arenas and those are all currently the main live server in the US as far as I'm aware.