1. IIRC a grey "sunk ship" icon means the ship went down but you did not cause the damage that sank it. It may have been due to bad weather, attack from another enemy vessel, or any number of reasons - but you aren't responsible for the kill and will not get credit for it.
2. Contact reports are just what they sound like - if you sight a convoy, for instance, you can send a message to BdU letting them know about it. Whether or not the game does anything with this, like sending in the Luftwaffe (if you're in range of air support) or other u-boats in the area, I really don't know. If I spot something worthy of reporting to BdU (like a convoy I hadn't already heard about via someone else reporting it and BdU passing on the info) I usually get so excited that I forget to radio it in.
3. This one I have no personal experience with, although some players have said they had sound issues when they were using their system's onboard audio that were solved either by tweaking the settings for that or by switching to a sound card. Someone else may have a better answer for you on this one but if you're using onboard audio that could be one thing to look at in the meantime.
Happy hunting!