Ok i'lle take em one at a time.
The pilot bearing is the small bearing in the end of the crank.
The pilot bearing doesn't really hold that much load. Think of it more as a stabalizer.
Yes replace the pilot bearing, They are cheap, easy to replace, but a pregnant dog to get to.
I wouldn't change the trans output bearing, or even open the case, unless you are going todo a full rebuild.
Just throw that crappy broke old one away. Malrins are factory flywheels just resurfaced and they are good to go.
I wouldn't but a Autozone clutch unless it was Asian.
The throw out bearing is what pushes againt the clutch and does all the "clutch" work. If you get a clutch kit, it will come with a new one. If the kit doesn't come with one, it's a cheap kit don't buy it.