1: Already answered, but you are your own ally. No benefit to targeting yourself with a pull or a push, but for giving tokens or healing, yes.
2: In the current version of the rules, any action with targets must include your Challenger. So, you can Yell, since Yell has no targets, but you couldn't use Stand Strong to heal yourself, because it does have targets and could target your Challenger.
In the upcoming errata, Challenge tokens' effects are changed to "All damage-dealing actions you perform must include your Challenger as a target", so actions like Stand Strong are unaffected by holding a Challenge token.
3: Yeah, you don't target anyone while in Mastermind style. You just walk around and shout orders. However, if an ally you control has a challenge token, you will need to consider that for the Action you make them do.