Learn English – Should I use “about” or “on” with “I was taught a lot X how to”

1) Sentence 1 is OK, but you can simplify it:

This is nothing to worry about.

This holds the meaning of thing (or whatever the subject is) so there is no reason to repeat it, unless it needs specific emphasis.

2) Yes.

3) The phrase I mentioned above solves the problem of whether to say a thing or the thing (your comment in 3) in your question, whether to use "a" or "the").

But if you want to use "a or "the" as in your example, I would stick with "a" unless you need to emphasize a particular "thing". It is unlikely to be "the" only "thing", as we all have plenty to worry about.

An example using emphasis might be:

You have been late to work a lot recently. Your attendance is the thing you need to worry about.

Is that (from) Chipotle?

Including from indicates the location or name of where you got the food. Without (from), you are just naming the food (Chipotle food).

This McDonald's (food) is so good.
Is that Gucci or Prada (merchandise)?

In these, food and merchandise as implied information can be omitted, as long as it is understood in context what is meant.