Great questions. I'll try to go in order so I don't miss anything and try to add onto @chipround's awesome answer!
When you import products from the embedded app those are coming from Oberlo Supply. This is Oberlo's suppliers whose sole purpose is to be suppliers for dropshipping. They are specifically brought on for that so they know you are dropshipping!
Next, you can see all your products in your Oberlo Products. Here you can see the product and the supplier. If there are any problems or you have questions you can click the small mail icon and it will send a message to the Supply team who can send it directly to them.
Second, you are correct suppliers have different shipping for different countries. For this I normally suggest creating a zone where you ship only to countries with ePacket. It's cheap and takes 15-25 days on average and is currently the best shipping option. For other countries I would not suggest selling to them as shipping takes over 30 days. You can find the list of countries in the link above!
Third, for setting up shipping you do need to average it out and are correct it will not be exact. This is because shipping prices vary and may slightly change depending on where they are going. However, with ePacket this is normally not more than a few dollars so it's not too difficult to average it out. Here's a guide for setting up the shipping and will take you through it step-by-step.
Finally remember that this isn't permanent! When I started I was so worried about shipping prices. After a few orders however I realized I could add in a few dollars if the margin was too low and it was no problem after. Hope this adds some insight!