You can only have one CAT file per timeline AFAIK. When you choose a different CAT file in the animation event dialog, you are loading a different CAT file for all events in that timeline. The CAT file you load becomes part of the show (RTD) file you are building and does not refer to that originating CAT file again. (e.g. if you updated that original source CAT file with PicEdit or something else, it won't update the CAT file in your show (RTD) file. This is why there is no reference to a source CAT filename. Does this make sense?
As for your second question, you can copy and paste frames in QuickPicEdit (or PicEdit) and/or load individual PICs into any frame in the CAT file that you'd like and then save that CAT file via the Picture Editor (that thing that you get to with the filmstrip icon). That picture editor also allows you to import and export a set of ILDA frames starting at the frame you've selected. This allows you to combine any combination of ILDA material, CAT frame sequences, assorted PIC files until your heart's content. You can then leave it as part of your RTD file by doing nothing more or save off the entire sequence as a new CAT that you can then import into other shows.
Oh, and on a related note, you can generally open two or more copies of LSX, load different shows/material into each copy and then copy content between them. I find this to be really handy for drawing material from a 'source-file repository show' to a destination show. (e.g. you could store animation effects, loops, lissajou effects, DMX commands, etc. into source files for future reuse.)
If you haven't read the PicEdit manual that comes with LSX, I'd suggest doing so as the LSX interface isn't terribly intuitive.
I hope this helps.
-David
"Help, help, I'm being repressed!"