The test in 2/5 was for gdiplus, not WIC.
My understanding is that gdiplus just reports what WIC returns in that regard, and gdiplus doesn't generate fake palettes for real images (read: loaded from a stream or a file).
WIC did report a grayscale palette, implicitly in the pixel format. It doesn't need an explicit palette because it's not reporting an indexed color format.
Yes, but it should do that only for broken cases, when palette is not provided with source data, like converting from indexed BitmapData in GdipBitmapUnlockBits, or for idexed formats passed to GdipCreateBitmapFromScan0.
I see no reason why gdiplus can't or shouldn't add a palette when converting from a WIC source with a grayscale image format to a gdiplus bitmap. If the resulting bitmap is indexed color, it probably should.