1. Sites can (and do) get hacked, they can also have ads delivered by 3rd party ad servers, either of these could result in redirection to a 3rd party site considered malicious.
2. It is a site (URL) or IP address considered malicious/suspect.
3. Yes, as the Web Shield has blocked access to the site.
4. Yes, the Web Shield aborted the connection so nothing was saved to your system. Hence the fact there was nothing in the virus chest and a scan found nothing.