The purpose of a sticky message is to... well... stick. Therefore, it cannot be deleted. If you have issues regarding a sticky message, please contact a supervisor or Community Assistant.
Click on their profile page - there should be a link titled 'Message User' on the right of the page (under their 'stats' box). Simply click on that, and it'll take you to their message board.
Yes they can ! But to do so they must be a registered user. If some one sends you messages that are inappropriate or spams your board you should report it to a supervisor or community assistant.