Hi Erik,
Sure!
1. WordPress can usually create featured images for PDFs from the first page. If you go to the media library and click on a PDF document and see an image, then the plugin will be able to use that. Otherwise the server probably does not have the ImageMagick library installed or configured properly. I recommend checking this tutorial for that.
2. Unfortunately the only way for now is to index everything – however you can exclude items by their IDs on the media search panel.