Is there a relation between Information and Entropy (as defined by Shannon) and Entropy in Physics?
Yes, as far as I know, the relation is given by Landauer's principle, which states that in order to erase information, it is necessary to dissipate energy or, in other words, erasing a bit of information creates $kT \ln{2}$ entropy. This states the equivalence of logical irreversibility and thermodynamic physical irreversibility.
(taken from: The physics of forgetting: Thermodynamics of Information at IBM 1959–1982 by Aaron Sidney Wright https://www.mitpressjournals.org/doi/pdfplus/10.1162/POSC_a_00194)
Is information physical?
Yes, information is physical. As far as I concern, Swanson asserted that information can be defined per unit volume rather than per symbol as in Shannon’s information theory (sic).
(taken from: The physics of forgetting: Thermodynamics of Information at IBM 1959–1982 by Aaron Sidney Wright https://www.mitpressjournals.org/doi/pdfplus/10.1162/POSC_a_00194)
Is it (information) conserved for a closed system?
Yes. You can see this previous post (Where does deleted information go?) for more details about it.
When Entropy increases in a closed system, is information lost (in some sense)?
Yes, that's because of Landauer's principle: 'erasing a bit of information creates $kT ln 2$ entropy.'
Can we answer as to where that information went (if it was ever there)?
Yes, we can. You can find the answer to that question in this post Where does deleted information go?