1) What we mean is that the industrial economy of Europe was damaged to the point that it caused a ripple effect in the world economy. Honestly, I don't think the war would remain an unmoving trench war throughout our version of the conflict, since having it last until the mid twenties is pretty extreme. After the Russians withdrew from the war in the real world, the Germans launched an offensive that nearly broke the war for the allies and very well could have ended the entire thing in favor of Germany if it wasn't for US intervention stabilizing the line. At the same time the US entered the war (again in the real world), the French military was plagued with a wave of desertions and mutinies in their military. A year later, the Germans suffered from a string of revolutions that overthrew the Kaiser's government. The point I am trying to make is that the war as we know it couldn't have lasted that long, so there must have been some evolution that changed the nature of the thing. It must have broke out of the trenches at some point, and the damage to the industrial capability of Western Europe would have been hampered.
2) Veo covered this, but it is important to remember that WW2 didn't fix the Great Depression, that was already happening. Rather, WW2 mobilized the economy in the US to a degree it had never been mobilized before and built an industry that made the earlier recovery hard to distinguish from the Depression.
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4) I think they would have suffered from an exaggerated version of what the Germans suffered in real life, but political collapse would have been the more dramatic issue. France at the turn of the century was a divided society, and the social strife of such an extended war would have brought those divisions to a head. You're looking at nationalists, republicans, socialists, and catholics all blaming each other for what had happened and fighting for control.