1. Yes all three can apply for AB even when FIR is lodged.
2. Anticipatory bail has to be applied in the Sessions court or District Court. If your application is rejected in this court then you need to appeal against that order in High Court and then in Supreme Court. Magistrate courts or trial courts or any court below the rank of Sessions or District courts cannot give Anticipatory bail.
3. Future consequence(s) as asked- If such person is thereafter arrested, and is prepared either at the time of arrest or at any time while in the custody of such officer to give bail, he shall be released on bail and the magistrate taking cognizance of such offence decides that warrant should be issued against that person, he shall issue a bailable warrant in conformity with the direction of the court granting anticipatory bail.