3 - I see in the mod page on Nexus this instructions. It's the first time that a mod tell me to do this kind of modification. What is the goal for this? I thought that loose file takes priority to BSA archived files... And why HighResTexturePack03.bsa is not concerned by this modification?
If you are running Skyrim without Mod Organizer, you are correct that loose files always take priority over BSA archive files. Mod Organizer is a bit more intelligent in that it can allow files in a BSA archive to take priority over loose files.
I'm not sure where the instructions you quoted come from and I don't see them in the STEP 2.2.9 instructions (unless this is in an older version of STEP somewhere). With STEP 2.2.9 you should not have HighResTexturePack0*.bsa in the INI files. Instead, you should deactivate HighResTexturePack01.esp, HighResTexturePack02.esp, and HighResTexturePack3.esp in the mod list (the right pane in Mod Organizer). Finally select the Archives tab, check "Have MO manage archives", and check HighResTexturePack01.bsa, HighResTexturePack02.bsa, and HighResTexturePack03.bsa. This way the files in BSA archives are more or less treated as loose files and you don't need the dummy esps.