Let $C \subseteq \mathbb{R}^n\setminus \{0 \}$ be a connected convex cone*.
Question: Is $C$ always a topological manifold (perhaps with boundary)? A smooth one? Does anything change if we do not assume the cone is convex? (i.e it's only closed under positive scaling)
* (I define convex cone to be a subset which is convex and closed under strictly positive scalar multiplication. Equivalently, it's closed under non-zero conic combinations).
Here is a counterexample in dimension $n=3$, i.e. a cone which is not a manifold-with-boundary.
Using $x,y,z$ coordinates, consider the following subset $S$ of the $z=1$ plane: $S$ consists of all points $(x,y,1)$ such that either $x^2 + y^2 < 1$ or $(x,y) = (\cos(2\pi r), \sin(2 \pi r))$ for some rational number $r$. In other words, $S$ is the union (in the $z=1$ plane) of the open unit disc and the points on its boundary whose angle is a rational multiple of $2\pi$. Note that $S$ is a convex subset of the $z=1$ plane.
Now let $C$ be the cone consisting of all rays based at the origin and passing through a point of $S$, i.e. the smallest cone containing $S$.
Note that $C$ is not a manifold with boundary at any of the points $(\cos(2\pi r), \sin(2 \pi r),1)$.
What is going wrong here is that $C$ is not a closed set.
If, on the other hand, you require that the cone $C$ be a closed set, then yes, $C$ is a manifold with boundary. In fact, the same is true for all closed convex subsets of Euclidean space. One still has to be careful because the dimension of $C$ need not be equal to $n$, but if one takes an affine subspace of minimal dimension that contains $C$ then the dimension of $C$ as a manifold with boundary equals the dimension of that affine subspace.
For your other questions,