Some of those DMX files do have dodgy animations. The weapon bone is just an attach point and not a bone to which anything is weighted, so I wouldn't worry.

You should ask this on the Garry's Mod forums, not here. It's unlikely to be a problem with the exporter.

Please upload the exact set of files you're trying to import.

I have no idea because I can't see your rig. I can tell you that it won't make any difference to Blender, though.

If you specify multiple bodies I believe that the model's skeleton is defined by the first one only. You should export you full skeleton with Cubo.012, or better yet group all of those objects together to export them as a single SMD.

You probably have "$staticprop" somewhere in your QC.

I ran the command from the text editor instead of the console and it worked correctly. Looks like a bug with Blender's built-in Python console.

It possibly needs to use forward slashes instead of backslashes.
This is how I run the importer in unit tests.[github.com]

Try attaching to Blender with Visual Studio and PTVS[github.com]. Then you'll be able to debug any Python running within the process.

Oh, sorry! I'm pretty sure that used to work.

You can find the keywords and their values in the source code.[github.com]

If you run an import and look at the info bar command history, you will see what you need to do.