When you open an applet, such as the digital clock / calendar and click on its "Settings" icon, the settings window opens but the calendar vanishes. That feels a bit odd, because you loose kind of the connection to the applet you are configuring. Also you don't gain direct visual feedback, e.g. when checking "Show week numbers". Of course a user could manually pin the applet before open its settings, but I think the better default is to pin it automatically on opening the settings from the opened applet.
Could be reasonable.
I believe this would raise significant issues. The best we could do is not close the applet if the focus is on its setting window, though that would require some headaches in the code. However, then you'd have the weird behavior where switching the focus from a (setting) window to another would close the applet, since it would lose focus. Alternatively the applet should remain open as long as the settings are open, which I feel like might be an issue if e.g. the user switches desktop and remains with an applet stuck open. I feel like this kind of feature would be very prone to breakage or have unintended side effects.