Um. Other than reading guides, I can't think of any way to find out all the special abilities of a nation, although maybe browsing Edi's database might get you a lot of it. For instance, I don't know of any official in-game or out-of-game documentation that will tell you which nations' undead priests are allowed to summon Longdead Horsemen, and I'm not sure if there's any documentation that tells you that Hinnom labs cost double (or is it temples?) and Marverni's temples cost half. In the specific case of philosophers, that's not so much a nation property as a property of the unit, and there are lots of little-known abilities that units have. I'd probably recommend browsing through the "Did you know... Dominions trivia" thread.
I'm not sure about national heroes lists since I always take Misfortune-3 and thus never get any.
There's a 3% chance per turn of a national hero showing up, +/- 1% per luck scale.
About penetration, I don't understand your question. How is "{10+DRN+(skill in path)/2} + 5" different from "{10+5+DRN+(skill in path)/2}"? 5 is a pretty big number when it comes to penetration. Whether it's worth it depends upon what you're going to do with it. Say you're Mind Hunting commanders with MR 12. You'll go from being pretty unreliable (takes about 3 casts/6 pearls per commander) to being pretty reliable (takes maybe 1.4 casts per commander). On the battlefield, it may mean the difference between a weak Master Enslave (or Wind of Death, etc.) that captures 10% of the enemy units and a strong Master Enslave that captures 40% of the units (which means the enemy army basically destroys 80% of itself in fighting).
-Max
-Max