First, I believe that Connell wrote the story mainly to entertain. His use of suspense and irony with little thematic or character development lends itself to that conclusion. However, through the opening dialogue between Rainsford and Whitney, the reader can infer that Connell will comment on fear and its effect upon humans. Your third question addresses this. Of what is a human being capable when he/she faces fear?
Additionally, the story's setting is significant to one of Connell's points. Zaroff uses an exotic island to practice his maniachal game because he knows that it is socially unacceptable. While the general does not seem to care what others think about him or about damning his soul, he wants to be able to live without the constraints of society. Connell, much like Golding in The Lord of the Flies, chooses an island setting to illustrate what happens to mankind when he is removed from society. Connell's view seems to be very similar to Golding's--those who want power take over and are either corrupted by their power or wanted power in the first place in order to do whatever they please. Both authors demonstrate a faith in the dark side of human nature, especially when social restraints are absent.