I can write a transaction down on a piece of paper and leave it on my desk, too. It means absolutely squat until such time that some miner somewhere provides a block that is added to the public ledger known as the blockchain. Mining's primary purpose is to confirm the validity of transactions by adding them to the ledger through proof of work hashing. If my transaction never makes it into that ledger, it may as well never have happened.
No, that transaction remains perfectly valid as long as the sender is honest. The blockchain is only needed to provide security against dishonest senders.
"Empty" blocks are not really empty either: they still include every transaction mined by the prior blocks.
And since 1 block is not sufficient to confirm a transaction, it's really the block 5 down the chain which is beneficial to the transactions in the block mined anyway.
No, empty blocks do not include every transaction mined by the prior blocks, they include a way to get to a parent block.
Which is the same as any new transactions in the block.