1. LED indicatior for SMS, missed calls, not reacting well. Only on charging is orange, and when battery etc. That wouldn't be problem if notification light on trackpad could blink faster?.
The green and orange LED on the phone is solid orange when charging and solid green when fully charged. It also periodically flashes green when you have an email.
When you get an SMS message, the trackpad LED pulses periodically. I think it stops after a while.
As far as I know, there is no way to configure which light blinks for which notification and how it blinks.
2. How to play some games on hardware keyboard? Is there app to map buttons, or tell me some games which have that option ingame.
The hardware keyboard only works for games that support it. I don't think many games support the hardware keyboard as keyboard phones are not that common.
3. And because I am begginer , tell me some usable utility applications - taskiller, batery saver etc. by name.
First of all, since you come from Symbian, you have to forget about how an OS manages system resources when coming to Android. Android tries to makes the best use of memory and processing power. It also suspends apps that don't have anything to do (like a web browser that is not in the foreground). Apps that are loaded in memory doesn't use processing power or battery if it doesn't need it, so don't worry about that. Android tries to load into memory what it thinks you may need in the future to improve load time, so having little free memory is not a bad thing. Killing tasks is generally bad because what happens is Android thinks you will need that task again and load it back in. This means killing a task may end up using processing power while accomplishing nothing useful.
As for saving battery, I think you will find that over time, your battery will start to last longer. Partly the reason is that with a new phone, you will be playing with it a lot. Once you get used to your phone and configure it in a way that you like, you will end up tweaking it less and thus use less power. This happened when I got my Nokia N97 and with my Desire Z. Another reason is that brand new cell phone batteries don't last as long as batteries that have been used and recharged a number of times. The manual with your phone should say so. Between both of these, I found my phones tend to start to last longer after about 2-3 weeks.
If this is a brand new phone, I highly recommend you get the latest firmware upgrade, Gingerbread (aka Android 2.3). I found that it seems my battery lasts a bit longer with this update.
As for other utilities, it really depends on what you really want or need to do. One thing I would recommend is to try the Opera Mini and Opera Mobile web browsers. Opera Mini saves you about 75% data when browsing and it's really fast. Opera Mobile is a more full featured browser that supports Flash. I tend to use these more often than the stock browser. These browsers also allow you to organise your bookmarks in folders.