Please allow me to add some sub-labels to your questions.
1.a) Will the substance heat up?
Yes. Assuming that your field is indeed strong enough to completely reverse all domains back and forth, the generated heat will depend linearly on the frequency, since every reversal deposits a certain amount of energy into the material. However, at very high frequencies non-linear effects will change this.
1.b) Can it happen that it will heat up to such an extent that the domain structure collapses i.e. it reaches the curie temperature?
1.c) And also why did it even heat up? Where did this work come from?
The work is proportional to the area of the M-H hysteresis loop. If the loop is wide, it means that the material resists being reversed, typically through pinning of domain walls inside the material. It will then be much harder to reverse the domains and more work is needed to do so.
2.a) When a ferromagnetic substance is kept in a strong magnetic field, it becomes a permanent magnet with net magnetic moment in that direction, right?
Not entirely correct. One typically calls a ferromagnetic material "permanent magnet" if it has enough coercivity to resist spontaneous demagnetization after the field has been removed. All ferromagnetic materials will alling with a strong enough applied field, but only permament magnets will keep (most of) its magnetization once the field has been removed. One also calls permanent magnetic materials "hard magnetic materials", which is easy to remember since they are hard to demagnetize. However, the historical reason is different, since one early on noticed that mechanically hard iron also behaved as permanent magnets and mechanically softer iron did not. Hence one calls non-permanent magnetic materials also "soft magnetic materials".
2.b) So now if I invert, the magnetic field then if we still consider that its ferromagnetic then the domains should again rotate(Now whole magnet is just a single domain) and the polarity of the permanent magnet that it had became earlier should be reversed, but intuitively I feel that this won't happen instead the magnetic(ferromagnetic substance that became a permanent magnet) will rotate and align itself in the direction of the magnetic field i.e. it will rotate by 180 degrees. Which will happen, why and why not the other way round?
Both can happen. It depends on what is most energetically favorable. In the case of a compass needle, the entire needle rotates with the external field. The needle has very little mechanical resistance and rotates freely. Hence a field much weaker than the coercivity of the magnetic material in the needle, can rotate the entire needle. However, if you were to mechanically stop the needle from rotating, say by glueing it in place, and you applied a magnetic field stronger than the coercivity of the needle, you would rorate the actual magnetization inside the needle. You have now essentially broken the compass since if you disolve the glue, it now points 180 degrees away from its original direction (i.e. you will think it points north, when it acutally points south).
I hope this helped!