For your first question, see my answer in your other post on the same topic.
Is [the "Maximum Number of attempts"] option only active for questions that are graded?
Yes, of course. Well, it depends what you call "graded". Graded questions are ALL questions except Essay. Non-graded questions are called Content pages. And this notion of graded/ungraded has nothing to do with the Practice lesson setting.
"Do most of the settings in Lesson depend on the questions being graded?"
It depends what you call "most settings" and what you call "graded" (see above).
Sorry if my answers do not sound satisfying, but again the Lesson activity settings are quite complicated to manage, the behaviour of the Lesson can be difficult to understand and the interface needs a serious re-vamping.