The threads aren't as strong as his feathers or the knots anchoring them, so they just break off. It would hurt when the pulling is going all the way to the quill before the thread snaps, but Sornal has an extreme tolerance for pain.
Yeah, he's supposed to remove them first because they get tangled and catch and screw up the dynamics of the whole thing. But sometimes Sornal does inadvisable things out of a kind of misplaced defiance and lack of concern for himself.
Not exactly. She gives him grief for the risks he takes but she is just not the type to really make a fuss. She's a healer, she's desensitized to seeing injury and so she is quicker to yell at him than worry about it.
Just a little of a story. The rings are his way of decorating himself as a performer/psychic/holy man. Compared to others of the kind he's one of the more soberly dressed. He preferred a bit of feather mutilation to wearing a bright color or something. It just fits with his tendency to stick things into his body - it's one of his side-show like tricks to puncture himself, so he sort of extended that into his ornamentation.