Make sure you installed the Shots/Holds set which is included with a purchase. In the RT picker, look at the column to the far right called Holds. If your RT has a number, it is supported and should work.

You last question is a long time discussion that brings many opinions. WAV files technically sound better than an MP3 made from that WAV. With compression techniques today, it is difficult to hear the difference. Just don't pick a low bitrate (<128) for your MP3 and it will be fine, especially for a live performance. And lastly, if a WAV is made from compressed files such as the Non-Audiphile RealDrums and RealTracks, the result will only be as good as the compressed files no matter what you do.

R