Before answering, I would like to say that the difference between macroscopic and microscopic is not made in terms of ensembles of systems; in fact, quantum mechanics has an ensemble interpretation. About your questions, my answers are the following:
Yes. General relativity is a pre-quantum theory, which means that does not account for the discrete particle-like structure of matter. Particularly, I never use the term "phenomenological theory", which I consider a misnomer.
Yes, Einstein, Grossmann, and Hilbert explicitly ignored the structure of matter when developed general relativity.
There is not microscopic picture of general relativity, because this is a (geo)metric theory. Somehow as there is not a microscopic picture of geometric optics. Of course there is a microscopic picture behind physical optics which we call quantum optics. A quantum gravity is currently under active research. A first step is the quantum field theory of gravitons whose "microscopic picture" is close to that of quantum electrodynamics.
Of course there is many cases where the continuous fluid approximation used in general relativity breaks down. A first extension consists on using relativistic kinetic theory, where the continuous fluid model is substituted by a discrete model where atoms-molecules are described by a general relativistic Boltzmann theory. E.g. if there are shock waves in your interacting fluids, then they cannot be described by a continuous fluid model.
No. Because the (geo)metric model of general relativity is not fundamental (as Feynman already noted years ago). The underlying quantum theory of gravity uses, essentially, the same space and time as quantum mechanics.
No. There are lots of flawed thermodynamic analogies found in the general relativity literature (black hole thermodynamics being the more popular of them).