Yes, a vector which has zero magnitude is also a vector in case of two vectors travelling in opposite directions with equal magnitudes. At this case, the resultant vector has zero magnitude but it is still a vector. We call it a null vector.
At dawn and dusk, large amount of blue and violet light(shorter wavelength) has been scattered so, the light that is recieved by an observer is mostly of a longer wavelength and therefore appears to be red.
Yes, a physical quantity can have magnitude and direction but still be a scalar if it doesn't obey the vector addition. An example is Electric Current which has magnitude and a fixed direction, but it does not follow vector laws of addition.

Congratulations Sachin!!