Thanks for playing!
The reason there is still a lot of mystery at the end is because I have a sequel planned. I'll try to answer your questions as best I can without getting too deep into spoiler territory.
1. The entity talking to Robin at the end is only pretending to be Fletcher. That's all I can really say about that, haha.
2. You don't get to know much about Shay's family because Shay himself has been kept out of the loop. (You'll learn more about this is in the sequel.) As far as he's aware, they're an organization of mercenaries.
3. Fletcher is forced to follow a set of rules in order for his spell to work- One of them is that he must use a name in his questions. The name will work as long as it's an alias the person is currently going by. The rules change depending on if he's using their true name or an alias.
So yes, the questionee subconsciously acknowledges the name for the purpose of the spell. They also subconsciously acknowledge their true name. It doesn't have to be their birth name- it will be whatever they consider their true name to be.
4. The elegant woman and her husband did make it out with the help of a young witch pretending to be a train attendant. You'll likely see them in the sequel :)