1) When I setup syslog to siem, I saw errors in the Log Files > MWG Errors > mwg.core.errors.log
There were entries such as
[2013-01-17 09:01:05.764 +00:00] [NotificationPlugin] [SyslogError] Dropping syslog entry because queue is full.
NB to fix I restarted the rsyslog service on the MWG
2) Depends on your conf file. If you login via winscp or ssh you can see some logs like cron /messages in /var/log
3) syslog is best supported over udp. be sure to fully research whether your siem support syslog over tcp.
Here's some sites I found useful.
Finally there are loads of posts on this topic if you search for siem
Hope this helps :-)