Hi Ed,
Welcome to the site.
For your first question. WinMX during install will attempt to make TCP and UDP connections as a test. These can fail for a few reasons.
That message basically and truly just means that you have no port options set in
Settings > Incoming TCP & In/Out UDP. All you have to do is go to those settings and tick the top option. This alone will fix those messages you get but does NOT ensure you will have a working Primary. By working I mean uploads, downloads, Searches and Chat List.
I would go to those, set them correctly. Restart my winmx and see if the above mentioned functions work. If they do then thats it, your done.
Most users find tho they are behind either a router or a NAT capable DSL modem. If this is the case more work needs to be done then above. If this is the case for you post back with your router or modem details and we can assist you, or have a look here for more info.
https://www.winmxworld.com/tutorials/routers_info.htmlAlso you would need to give WinMX access in any firewalls and even some antivirus.. again if you still have problems post back with more info.
For your second question, you have to have loaded some .wsx files. These are the files that store that server information for OpenNap and if yours are lost as it sounds, finding new ones is very easy. In the Archive link above here there are hundreds listed, many with multiple server info on them.
Here is access to a more recent one:
https://www.winmxworld.com/files/ Scroll down to the file named '
working_opennap.wsx', right click and choose save as.. then just Import that in the OpenNap screen.
I think that should cover your questions and if not please feel free to ask away.