A bit of background. An Allegro display always has its own rendering context (in OpenGL terms). The texture underlying a video bitmap belongs to a rendering context. This is where the concept of a video bitmap being "tied" to a display comes from.
On X, OpenGL contexts always share resources so, actually, you can draw a video bitmap in a different context. On Windows, OpenGL rendering contexts do NOT share by default. It is possible to create a context which shares with another, but Allegro does not expose this yet.
3) What happens when you draw images to a display that aren't attached to them? Is this supported?
If al_is_compatible_bitmap returns true then it would draw with acceleration. Otherwise it is treated as a memory bitmap - but I'm a bit hazy on that point, as that would imply we have a memory copy of every video bitmap. Maybe NO_PRESERVE_TEXTURE has something to do with it.
4) Will al_convert_bitmap be backported to Allegro 5.0.x?