1. Just for efficiency's sake, using a secondary side aux winding or tap isn't a bad idea. Then you can draw some ~mA without big resistors or dropper zeners.
2. In what way is the bandwidth reduced? The supply dropper shown provides a feed-forward path. It's a hybrid between an all-zener divider (no error amp / ref) and a conventional error amp approach. As such, adjust the resistor values to get the right amount of pole-zero cancellation or whatever.
Of course in the #1 case, you wouldn't have this effect.
3. Can use a lower current ref like TLV431 (or the higher voltage relatives) to save current in general, and to make back the low bandwidth of the phototransistor, it can be cascoded. Some controllers do this out of the box, others can be wired (here, add a resistor from COMP to FB and tie opto from VREF to the summing node FB), still others you might need the added hardware (an explicit transistor?). Photodiode types can also be used (or photodiode-strapped phototransistor, when using 6-pin types), needing significant current gain but better performance can be had with an appropriate amp than the phototransistor alone.
Also, note that EMI can be much worse with high voltage outputs, as the edges from both windings fight each other and common mode can get pretty nasty. Transmission line transformers help.
Tim