1) If I want to install all addons, which "Install profile" should I select?
2) If I run Setup Wizard again with different "Install profile", will I lose what I have done to an addon?
3) I added some files and download categories to downloads addon. Ran the Setup Wizard and downloads addon was lost. I ran the downloads installation under "structure". All categories and files were gone. :=(
 

1- The Wizard lets you refine your addon choice in one of the steps, so just pick the closest.
2- Mostly not, but it is not designed to be re-run once a site is started construction. You would lose any changes to an addon if that addon is uninstalled through it though. Primary addon management is not through the wizard, it's through Admin one > Structure > Addons. The wizard doesn't do anything that can't be done somewhere else, it's just to get you going a bit faster.
3- Sorry to hear that. If you uninstall an addon (including leaving it unchecked in the Setup Wizard) then all it's data will be removed.