Wrosun,

1 - The easiest way to create multiple levels is using the plug-in CopyAsNewFurniture. Download the tutorial to read all about it.
3 - The easiest way, then, to make a multi-level house is drawing the floors next to each other, then select each floor and use the new function Tools --> CopyAsNewFurniture to copy and paste the pieces of furniture into a new instance of SH3D where you assemble your house.
2 - The OBJ language (or the way SH3D uses it) has a few drawbacks: one of them is that some functions do not survive the export-import process. Light is one of them. So, you have to add your lights after importing your levels.
3 - The red cross when making a render generally indicates some kind of memory problem. Your model may be too big, you may have used "corrupted" models, too many or too big textures, etc, etc. Share your model here and we can review it.

Hans