From a broader sense, in terms of Google, yes - the canonical tag will also help alleviate duplicate META data. In our system, though, I'm honestly not 100% sure - I'm going to check with the product team.

My experience matches Nakul's. Technically, Bing claims you shouldn't have canonicals on the canonical page itself, but I've never seen evidence that they actually do anything about that or don't honor the tags. I think they just don't like processing the extra tags. Google originally suggested the same thing, but then softened their stance. I've NEVER seen a practical issue with it on Google.

So, by the book, Bing would rather you only put it on non-canonical URLs. Practically, though, it seems to work absolutely fine. I wouldn't lose sleep over it. So many big sites are doing this now that I don't think the engines can devalue the tactic. It's not spammy - it's just mildly inconvenient for them (some extra processing).

I think there may be an important distinction here - are you talking about potentially registering dozens of domains to rank for long-tail phrases? I think we're all assuming that you mean your primary domain choice.

Registering dozens of exact-match domains to rank for long-tail phrases is a lot less effective than it used to be (and will probably get even less effecting over the next 1-3 years). People abused that tactic, for starters, but it also splits your link-juice, social signals, and typically creates either doorway pages or large-scale duplicate content. The negatives outweigh the positives in most cases.

If you're only talking about one domain, and it really is a very long-tail phrase you want to target, then that's a bit different. In the example you give, most of the keywords are very common and a bit ambiguous, so you're right - a short version might not make much sense. On the other hand, the long version is going to target one very specific phrase that probably gets a small amount of traffic. You could target that phrase through on-page cues, inbound anchor text, etc. (the domain name is just one small piece of the puzzle).

It's confusing, but best practice is generally no hyphen in the root domain, but hyphens in the sub-folders (so, "www.mydomain.com/my-domain"). Google is good about separating words in root domains, but not always in folder and page names (and they recommend the hyphen as the preferred separator). Traditionally, hyphens in the root domain are also a (small) negative trust signal - people tend to think you couldn't get the non-hyphenated domain.

I think the comments here cover the bases - I'm not aware of any kind of outright penalty, but it's always a balancing act - the more words in your domain, the less SEO impact each word is going to have. At some point, it may start to look a bit spammy.

Of course, there's the practical side, which includes the usability aspects, too. Imagine you want to give someone this URL over the phone, print it on a business card, use email addresses at it, or even post it on social media (without a shortener) - at some point, a long URL just isn't practical. It's also a negative trust signal - people aren't going to take an overly long URL seriously, IMO.