Any question answered...

go and look at them in a shop, then you can understand how they work. SPD are good for MTB use and fine for road use, whereas SPDSL are better for road use but terrible for MTB use, so go SPD for your first pair if you plan to ride off road at all

http://www.cyclingweekly.co.uk/fitness/bike-fit/pedal-system-best-133105

One advantage is 2-hole means a small cleat that can be recessed into the sole. Never ridden 3-hole, I imagine it's the same but stronger for moar power. And you have trouble walking.

Why did Shimano have to devise new stuff for the road?

The main benefit of road pedals (SPD-SL, Look Keo etc.) is the wider platform, which stops your foot from rolling from side to side. The longer platform also distributes pressure more evenly along the sole, although with road race shoes being sold on sole stiffness that tends to be moot. If your feet don't roll and your soles are stiff, SPD is fine for road use. Shimano's first go at road clipless (after a period of licensing the original Look design) was an SPD, e.g. PD-7410

SPD is recessed into the shoe so you can walk in them and generally has a bit more side to side, also the ability to clip in even when the system is full of mud b/c the SPD system has holes for the mud to come out. The SPD-SL has less side to side generally than the SPD system but this does depend on which cleat you choose to use (I personally use the blue cleat which is medium). SPD is double sided which makes getting into it easier than the SPD-SL.
I've used SPD on road, fixed and off road and its sound for all. I do now use SPD-SL for road and track because it is stiffer and better for power transfer

Also worth noting that you can get multi-release cleats for SPDs, which allow you to roll your foot out as well as pulling your heel out sideways. They're quite useful if you're new to clipless and want to be able to get your foot out in a panic. I've never moved away from them TBH.