HI Sapask,
1) SAP doesn't insist on it. In order to make price difference values flow to CO, Price difference GL account should be made as CE.
2) Yes, when you post MIGO, or MIRO, if price difference GL is not CE, the value of price difference will only be seen in FI books but not in CO (ultimately COPA)
3) Yes, once you create price difference GL as CE, go to OKB9 and select "profitability segment" check box against price difference CE. So, that whenerver a price difference occurs in MIGO/MIRO, it will be posted to COPA automatically.
4) Use COPA-costing sheet concept or use transaction code KE21N and post directly in COPA (costing based COPA)
Regards,
Jose