Some dump sites have paint available. This is paint that was to be tossed, but gets mixed with other paints. Usually a blue color. Some artists, and art teachers, use this paint for large projects. Hopefully, something similar is used here as well.
I don't know for sure. The only videos I've seen of him are painting with bins of spray cans on surfaces that already have a base layer. It wouldn't surprise me if he asks the property owner to put on whatever base they want beforehand.
Many of his murals have a lot of swirls filling the background which he presumably sprays as well. He must go through a lot of spray paint!
This restaurant had henry paint the whole building 5ish? years ago. Then they went out of business about 3 years ago and the property has been sitting vacant since then. Henry painted over the boarded up bits and I think he must have touched things up at some point because I'm pretty sure it was vandalized a while back.