I suspect the adventures that come with it will have a degree of spoilery-ness, but its definitely an extremely interesting set of world settings (particularly Stormlight/Roshar) if you wanted to use it in a campaign using a different system.
I would obviously recommend reading the books, the first couple of Stormlight books are awesome if your fine with a slow start. Unfortunately I think the second Mistborn book is considered the weakest of the series, still good though!
I think so, not sure about the palace, everything there indicates it was perched on the top - should still have had a rock as a wind break though?
I don't think they are crazy high in the rest of the city though, just enough to break the worst of the wind?