Hi Niklas,
On your first question I would say the mojoportal SiteMenu and page menu are not implemented to support this. You could implement your own menus based on the mojoportal ones and then use them in your layout.master and you could implement support for the level structures you require. SiteMenu and PageMenu are just wrappers around the ASP.NET menu and TreeView controls which I do believe offer control over depth of binding etc. Alternatively, if you want to try and modify the existing SiteMenu or PageMenu to meet your needs and you send me your work I will consider integrating it.
In hindsight, SiteMenu and PageMenu could have been combined into one control with various configuration options but they evolved separately. Internally there are only a few differences between them and SiteMenu is meant to be the topmost menu.
As for the edit icons I have had an internal debate for a long time about whether they should be skinnable. To date the argument has been won by the no they are not part of the skin side of the argument. Basically this point of view is that the edit icons are not visible to normal users but only to those with edit prviledges and the idea is that they should be small as possible to minimize them from having any impact on the layout of the skin but not so small they they are hard to find. With in place editing the idea is that the editor sees it as close as possible to the way the public user sees it so the idea of unobtrusive small icons prevails. Also for the purposes of training users how to use mojoportal with videos and such, if those icons were different from sin to skin it will be more of a support issue. I'm not closed to the idea of making these skinnable at some point as my general philosphy is to make things configurable enough so that people who disagree with my reasoning can do their own thing. Still it would take some work to go through and make these skinnable in a way that doesn't break existing skins. At the moment its not a priority for me though if someone wanted to sponsor that work it could become a priority. Now I will say that if you come up with more intuitive icons that still meet the low impact criteria and you want to contribute those icons to the project I will consider them. I am rather graphically challenged myself and not able to produce any nice icons so I've used what is available. I will say that no matter how intuitive the icons may seem its easy to learn what they do and once the user knows about those it becomes second nature. The code that adds the admin menu link and the new page link is in mojoBasePage, the code that adds the page settings link is in Default.aspx.cs
Hope it helps,
Joe