Trolls are sentient, I think. That's why dwarves can't train them. Goblins can.
I think the reason is that they are Evil creatures, as in creatures with the EVIL tag.
If you allow Slavery in the ethics it "might" be possible, similar to how cannibalism allows you to eat Sentients.
Trolls are not considered people by the game.
Trolls have the "learns" tag, which means they can gain skill and are considered intelligent creatures by dwarves, just like animal people, so they can't be tamed or butchered. It seems you're right about the evil thing too, so trolls are double untamable to dwarves.
1. I don't know what you mean by "main" mode, as far as I know dwarf fortress mode is the main mode of dwarf fortress
2. Dwarves will not sell any creature they can't tame (it goes against their ethics of slavery, so it wouldn't be any more right to sell them into slavery than to enslave them themselves), regardless of whether the traders would buy them
3. They'll buy the cage if you send it over, but your dwarves will just release the troll directly into your base where it will case a big ruckus if you try to sell the troll
4. Releasing it is surprisingly easy, just make a pasture (a pit could work too assuming they're not bugged anymore, and would probably be safer for your dwarves) where you want to release it and send it over, it will wander out almost immediately and then take it off the pasture list so the dwarves don't try to put it back. I usually throw trolls directly into a weapon trap so I don't have to deal with them, but whatever works for you