We prefer that people link directly to images and videos because we can't control things like comment sections, other page content, or adverts, which of course can range anywhere from completely harmless and even useful to, as you've said yourself, the garbage that makes up most comment sections on YouTube: this is why we prefer people embed video links into posts rather than just posting them in the shoutbox. The shoutbox has always been a little different in terms of rules - for example, you can just post an image link, whereas a post or thread with nothing but an image would be deleted due to low content - and because you can't embed links there, it wouldn't be fair to force someone to create a thread just to share a video to a discussion ongoing in the shoutbox, or if they're streaming. I concede that's not clearly stated in the rules though, so I'll look into amending that.
For the second point: if you see this happening, please report it. This rule is very much in effect, and unfortunately that staff member was mistaken. You can link to another website as a source for something if you're writing a news article or referencing something, but other than that, all links need moderator approval. Right now, we remove any links we find that don't fit our auto-approval criteria and PM the member letting them know, so if you find anything which needs to be approved or doesn't fit the rules, please report it. It's not a case of the rules willingly not being enforced, it's a case of it slipping through the gaps in moderation, and so letting us know when you see it is a big help.
Mainly it's just a bandwidth thing. For people who have data caps (which I gather are quite common in the USA), profile music can chew up a fair amount of data, and of course it slows down page loading times for those on weaker connections. This isn't such a big issue when it's only active on around 10 profiles, but if we extended it beyond that, it could potentially cause problems for data capped users.
On a personal level, I also just kind of don't like autoplay, which is why I don't use it on my own profile. If any members want to share some of the music they enjoy, then I'd encourage them to do the same thing I do and just put a link to it from their own profile for people to follow at their own leisure.
Right now, Instagram isn't something we're really looking into, as it's still predominantly an image-sharing medium rather than a true social network - and we already have our own Gallery in the File Share for hosting images, in any case. If Instagram continues to expand and becomes a bigger social platform then you can expect to see us on there in the future, but for now it would mean a whole new page to administrate and moderate for very little gain, and so for the immediate future there are no plans to expand there.
This is for the protection of our members. Members and even non-moderation staff don't have any authority or ability to moderate other members' accounts, and so anyone causing trouble isn't compelled to listen to you if you try to control them or reign in poor behaviour. Essentially, this could make you a target for that member's behaviour, and lead to flaming, confusion, or a situation where we need to issue warnings and bans to multiple people rather than just the troublemaker: it could also lead to accusations of favouritism, special protection, or persecution by moderators, and it puts an expectation on us to reveal any action taken, which is against our moderating rules.
Reports are also important as it gives us a case file of information to use when making decisions. If a user enters the shoutbox every day for a week and breaks rules, but is only reported on Sunday night, then unless it's been directly witnessed by a moderator we only have one instance to make a decision on, meaning we're less likely to be able to act quickly and with the correct course of action. Of course, if we get reports every time that member causes trouble, we can track what they're doing better and so moderate that much more efficiently.