1.
What does this caution mean?
If there is a copy of the camera's firmware (PRIMARY.BIN) in the subs directory, the build will recreate the stubs_entry.S file. If the firmware file is not there you get the warning and the build continues
2.
If I download the original stable CHDK there is also a file called PS.FI2.
In the two zip-files the compiler created this file does not exists - what is this file for - do I need it? If yes - how I will get it?
It's the file used for the "firmware update" booting method - basically the same thing as diskboot.bin but formatted differently. The encryption keys to create the ps.fi2 file are not held in the svn or distributed. This is to circumvent any legal concerns. You don't need this file if you are setup to autoboot via the "SD card lock" method.
3.
I want to know what is the difference between the 'normal' zip and the full zip which is generated
You could maybe use an unzip utility and have a look?