Ok, good news. I solved all my problems. Let me just share my solution.

Q1: Use .setArrayValue instead...

1.     .setArrayValue(0, 0)
2.     .setArrayValue(1, 0)

The value setting still seems to be bugged when using negative ranges. In my program I'm working around this by using both setArrayValue and setting the actual variables at the same time. Would be nice if this bug is fixed, cause now I need a lot of 'double-code'.

Q2 & Q3: Implement a custom ControllerView (see example below)

Adapted Code

1. import controlP5.*;
2. ControlP5 cp5;
3. Slider2D s;
4.  
5. void setup() {
6.   size(200,200);
7.   cp5 = new ControlP5(this);
8.   s = cp5.addSlider2D("direction")
9.     .setPosition(50,50).setSize(100,100)
10.     .setMinX(-1).setMaxX(1)
11.     .setMinY(-1).setMaxY(1)
12.     .setArrayValue(0, 0)
13.     .setArrayValue(1, 0)
14.     .setView(new CustomSlider2D())
15.   ;
16.   println(s.getArrayValue());
17.   smooth();
18. }
19.  
20. void draw() {
21.   background(0);
22. }
23.  
24. class CustomSlider2D implements ControllerView <Slider2D> {
25.  
26.   void display(PApplet theApplet, Slider2D theSlider2D) {
27.     int x = theSlider2D.getWidth()/2;
28.     int y = theSlider2D.getHeight()/2;
29.    
30.     if (theSlider2D.isInside()) { fill(200, 60, 0); }
31.     else { fill(0, 160, 100); }
32.    
33.     rect(0, 0, theSlider2D.getWidth(), theSlider2D.getHeight());
34.    
35.     pushMatrix();
36.     translate(x,y);
37.     stroke(0);
38.     line(0, 0, theSlider2D.getArrayValue(0)*theSlider2D.getWidth()/2, theSlider2D.getArrayValue(1)*theSlider2D.getHeight()/2);
39.     popMatrix();
40.    
41.     float[] values = theSlider2D.getArrayValue();
42.     String s = "x = " + nf(values[0], 1,2) + " y = " + nf(values[1], 1,2);
43.     theSlider2D.getValueLabel().setText(s);
44.    
45.     x -= theSlider2D.getValueLabel().getWidth()/2;
46.     y += theSlider2D.getHeight()/2;
47.     y += theSlider2D.getCaptionLabel().getHeight()/2;
48.    
49.     pushMatrix();
50.     translate(x, y);
51.     theSlider2D.getValueLabel().draw(theApplet);
52.     popMatrix();
53.   }
54. }