When the rocket sits on the launch pad and the engine fires up, an enormous amount of energy is expended moving the exhaust gases and heating the air. No work is done to move the rocket, but that doesn't mean no energy is expended. But the kinetic / potential energy of the rocket are not changing (actually the potential energy of the rocket becomes less because its mass is going down but that is irrelevant to the argument here).
It's like the old problem of holding a heavy object in your hands. According to your high school physics, you are doing no work since the object is not moving, but clearly you get tired standing there holding it. That's because sometimes there are (chemical, biological) processes involved in generating a force that result in the expenditure of energy even though there is no useful (in the physics sense) work being done on the object.
As for your second question about the rocket in space reversing its thrust: when you slow down an object you can say you are doing negative work on it (you are taking away energy from it). In the case of your rocket, you can see that the exhaust gases will be going faster than your chemical burn is allowing (if the rocket is traveling at 1000 m/s and the exhaust velocity is 4000 m/s, then the gases will be traveling at 5000 m/s relative to space - so clearly the rocket did work on the gas. Consequently the gas did "negative work" on the rocket.)
I am not sure about your comment about the power tending to infinity... maybe you can clarify what you are struggling with there.