The part that makes a surge protector "work" is called a Metal Oxide Varistor (MOV).
The protective action is obtained due to the MOV's electrical behaviour:
Normally, its resistance is almost infinite, but when the voltage across it
exceeds a certain value (usually about 3 times the normal line voltage)
the resistance suddenly drops, causing the MOV to pass a large current.
This essentially absorbs the surge before it can harm the devices
plugged into the protected outlets.
1. The "Wiring" light indicates that the surge protector
is correctly connected to the power line.
The "Surge" light could indicate either that a surge has occurred,
or that the protector is still good, depending on the design of the
protector. You would need to refer to the information for the
specific protector to find out which it is.
2. Making certain that it will actually do any good is impossible, but
using it as intended will most likely be better than doing anything else.
3. Switching it off is entirely optional with the user (you).
Switching it off is almost the same as disconnecting all the
things plugged into it, which is the best protection of all.
It actually doesn't do anything when switched off.
4. The switch is provided for convenience, so that if you want to
switch off the power to whatever is plugged into it, you can do so.
Many of the switches used in recently-made outlet strips are also
circuit breakers, and if tripped, they are reset by switching off, then back on.
5. See answer # 3.