In answer to your question about the slightly used/grooved pads with your new rotor, the pad will put some grooving in the rotor but eventually they will conform to each other.
With respect to the allen screw, you don't need to heat it before drilling off the head of the screw. The allen screw is a convenience feature to help hold the rotor in place while you mount the wheel, but once the wheel is mounted up and bolted in place it does nothing. Also WD-40 is one of the weakest lubricants you can buy and is useless on frozen screw/nuts. You need a penetrating oil like PB Blaster, CRC, or Kroil (best but hard to find in stores).
You can always see a bit of the guide bolt depending on where you are looking. Without a photo of exactly what you are looking at we really have no way of knowing if what you're concerned about is an issue or not.
The next issue you will likely encounter once you get past the allen screw will be the rotors stuck to the hub from rust/corrosion. Since you are replacing the rotors just use a hammer and hit the rotor on the inner surface. Turn it a little bit and hit again. A mini-sledge is ideal. If all you have is a 16oz claw hammer it will work but will take a lot of hitting and turning.
2006 Z4 3.0si Sport Package (But I'll still hang with my "homies" in the E36 forum)