During the last phase of the quest, the card says to raise your threat by 2 at the end of every round. Is this in addition to the 1 threat you raise the counter by (effectively meaning "raise your threat by 3 at the end of the round") or does it replace it meaning "raise your threat by 2 at the end of the round instead of 1"?

Also, Celador has text saying that he takes 1 damage every time a character leaves play. Does this include cards like Gandalf? And what happens when you take control of him during Phase 3? Does he still take damage when characters leave play? If so, that makes him pretty hard to keep alive, haha.

1) You'll be raising your threat by 3 each round (the usual 1 plus 2 for the quest card text).

2) Celador takes damage if Gandalf, Bofur, any Sneak Attacked character, etc., leaves play.  That effect persists even if you are able to get him out of the staging area.

You just have to read every card as literally as possible.  Quest 4B doesn't say "raise your threat by 2 instead of 1," so there is no reason that it would negate the usual threat raise.  Celador's text does not specify that he only takes damage if he's in the staging area, so there is no game effect that would remove it once he joins you.