Where exactly are settings for the program itself stored along with the library files and thumbnails for 900+ movies stored to where it all can be backed up in and recovered in the future if need be?
MC has a backup and restore facility, the location for the backups is defined in Tools/Options/File Locations/Program Files. MC will do an automatic backup frequently (daily?) but you can also instigate a manual backup from File/Library/Backup Library/. When you restore, you can choose to restore the library only or program settings too.
I do notice some of my tv series have xml files in their directories while others don't.
I'm not sure if TV Shows are handled differently from other types of video, but generally these xml files (called sidecar files) are used to store metadata that cannot be stored in the files themselves. They are not vital because MC stores metadata in its library anyway, but it's useful if you want to import metadata into another program or if you completely lose your database and want to re-import - it's just a substitute for storing the metadata in the files themselves. You can choose whether or not MC creates these files in Tools/Options/General/Importing and Tagging.