Not everyone lives at their billing addresses.
They need your address to take the card payment, it will still be delivered to the address you specified as the delivery address, whether it's the same or a different one.
They are confirming YOU are the holder of the card - by verifying where the bill for the card is registered.
No, just to verify your billing info.
You can say it is a GIFT on some sites, so they will not send any paperwork with the box. Depends on the site.