Development mode is recommended while you are working on a site. If the site is on a live server then it should be running in live mode by default (as long as you dont have a Director::set_environment_type('dev'); in your config).
Developing themes is fairly entry level but I suggest you leave dev mode on so you can see error outputs etc. The first 2 tutorials as well have some more information
No, its fine where it is, that _config file tells SilverStripe where and what code it should use. If you have no _config file in the tutorial folder then Silverstripe will not 'see' or read any of the code in that folder. If you had installed with the tutorial theme and not the blackcandy one then your _config file would have been in tutorial/ and not in mysite. Whereas if you do it the other way round (install with blackcandy) then your _config will be in mysite/ and not in tutorial.
This is so when you are working on the tutorial you can keep the code in tutorial and when you want to start working on something else you can just move the _config file to mysite/