A: Yes, Mike
A: Hi Chris- This bit is designed for block, brick, and concrete applications
A: Set screw
A: The pilot bit is simply pressure-fitted in. My pilot fell out on the first go with the bit falling in a place I couldn't recover so I'm very annoyed at the design.
A: The arbor bit is tapered and just pressed into the middle of the core bit. There is not retaining pin on this. If you are coring hollow block I would start the hole then remove the arbor bit. A better option would be to buy the Bosch bit the HD sells. Bosch has a retaining pin to hold the arbor bit.
A: Sometimes they are removable with an allen wrench. Sometimes you just turn it is threaded. Each time you use it it will tighten a little bit more so it may be difficult to remove.