1. If you use permanent watermarking ( ie Imagemagick and a gif ) and have it setup it will work and images downloaded will be watermarked.
2. On the fly watermarks are an overlay and images are not truly watermarked hense you download them or view them directly there will be no watermark on the photo. As far as png not being watermarked try this.
Watermark.php on-the-fly vs PNG
I would be glad to help as stated if you email us the info to assist you. As far as your server data path you must have a trailing slash on there.