I went back through my Integrated Library and got the same thing for the "DataGridViewComboBoxCell" messages, I believe I remember getting that the first time I selected the stored proc but just "ok'd" through it. I'm not really sure what the message means.. maybe one of the Symantec guys could chime in. I had no problem using it though once I got past the message.
For the fields section, leave the Return Value unchecked since you won't be returning anything back. That should bypass that particular issue.
I believe I just went to my console and right clicked on the policy and got the GUID from the properties menu. I know that's really not efficient at all or dynamic but I didn't put much time into it. You could populate a list with a query/table generator and have the Policy Name be your display field and pass the GUID in to your next component from there. The SQL code would be something like..
SELECT [Guid]
,[Name]
FROM [Symantec_CMDB].[dbo].[vNonResourceItem]
where ClassGuid= '2D3A170E-5028-4570-BA0C-3DB775CB8BDE'
order by Name
Update Collections updates the membership if I remember correctly, it seems like I had issues getting the add inclusions component to work so I added the update collections component after it. I don't have a type entry for my update collections component so I'm not exactly sure. If that portion of it is working for you I wouldn't necessarily worry about it. But there is a bit of documentation on the web services which these components are calling on your NS under All Programs > Altiris > ASDK Help which may give you more info.
As an additional note I did notice running these components that call web services from the NS was a tad bit slow for my liking, so I ended up calling stored procedures that do the same thing which was night and day faster. AddInclusions for example has an equivalent stored proc of spCollectionIncludesResourceInsert.