It's up to the host's discretion whether to include any, but they're used pretty often. If we take a sample from the last twelve regular games (speed mafia not included), eight of them had one or more Third Parties - meaning two games out of three.
Also, the bigger the game, the more likely to see a larger variety of teams (a second mafia, Lovers, Masons, Mentor/Mentee and so on), but that's also not a given. You never know when a host's gonna surprise you with an unusual setup
Correct, the Serial Killer is all by himself, like a vanilla mafia member who lost all his teammates.
No one to communicate with, and can choose to kill someone every night until he's the only one left.
And don't worry about asking questions, there's a lot of stuff to read and learn at the beginning. And even among experienced players, we constantly come up with doubts and ambiguous interpretations of the rules