1) I think that Held is more naive than a woman would have been in the 1920s - women understood their power with men - they were working toward and had achieved suffrage. She knew what was going on and would, in reality, have played them off each other much more; something that might have been emphasized more pre-code (question 3). Movies during the Depression were a mode of escape for almost all, so depicting a life that many were not able to live - the money, the prestige, etc - was part of that escape mode and would not have been the reality for the vast majority of the country at the time.
2) Musicals of the Depression era were, as mentioned above, a means of escaping. They would be something to inspire hope in the country and a thought that there will be a better time to come. That is one reason 'Somewhere over the Rainbow' quickly became so iconic (as well as the incredible talent of Garland). The hope of something better, a way to escape the problems of everyday life, will be depicted in the musicals to come.
3) Obviously the interactions between the men and women would have been far different pre-code. And as someone already mentioned, the costuming would be much 'less'. In many ways, it would be more 'realistic' concerning the relationships between men and women. Films during the time of the strict code regulations gave people a 'false' sense of what was really happening in America concerning relationships.