Do the agents Im sending out get xp directly from the missions they go on? If thats right then Im thinking that its not much use to level common agents since they will all be lost to conversion, so it would be better to use the highest color I can if it only loses a few % to win.
Agents don't get xp. You gain xp in the type of mission (and can track via the Stats tab) on successful completion (it's always granted, regardless of what type of reward you select). But it's not tied to any of the agents.
It generally is, but sometimes there is a tie and the next one in line is a better choice. But also, sometimes the next one in line is a better choice for another quest. So unless you check a few quests first, you might make sub-optimal choices, but we're talking a difference of 2-4% success chance so not a huge deal.