As you have correctly recognized, when all processes have rank 0, you are usually dealing with a non-MPI version of NGSolve.
1) As far as I know, MPI is disabled for the anaconda installer.
2) I have no idea how the anaconda stuff works, sorry. Generally, for an MPI version, you have to compile NGSolve yourself.
3) I think there have been issues with the intel compiler in the past, so I would suggest sticking to gcc or clang. gcc versions 8.2 as well as 9.1/9.2 have bugs that break NGSolve. Use the same compilers for NGSolve and MPI. (Also, if you are using mpi4py, take care that it uses the same MPI installation as NGSolve).
Best,
Lukas