First, in my level, point lights seem to pass through the walls ... Is that normal (LightRange = 5) ??
Yes, completely normal. Lights dont collide with objects (creating shadows). Your best bet would be to use a program like Gile[s] to create a light map instead of using dynamic lighting.
And do we always need to rotate lights when we first create them ? For me point lights do not need to be rotated but I'm maybe wrong (?).
You only need to rotate spot lights, as the nature of a spot light (directional). Point lights dont, think of them as a light bulb (with no power source, or blind side).
When we first create a spot light, where does it point at ?
I dont remember if they point straight down, or are created like the camera (pointing +Z)