Learn English – the difference between “which” and “in which”

Where and when, either as interrogatives or as relatives, are not pronouns but pro-adverbs—they ‘stand for’ adverbials of place and time, respectively.

The place where I found it = the place at/in which I found it
Where did you find it? = At/in what place did you find it?
The time when I found it = the time at which I found it
When did you find it? = At what time did you find it?

It is thus not strictly true to say that “a relative clause always contains a relative pronoun”—it may also be headed by a relative pro-adverb. And in some cases (as in He told me to stop, which I did) the relative ‘pronoun’ is actually a component of a relative pro-verbal construction with DO.

You are correct that the first three sentences are grammatically valid.

You are correct that the fourth sentence is incorrect. As @Sander states, the copular verbs glue the rest of the sentences together, all but that final them. This leaves the them referring to something that isn't actually there, and thus is said to be dangling.

With respect to which roll naturally off of the tongue, you're correct that both #1 and #3 do; I've heard both forms in casual conversation.