Serazu said:
1. He Calls it Thinking:
There's nothing preventing me from using it to cancel an Agenda's, such as Siege's, response. Right? Unless, now that I think of it, the fact that Agendas are not in play means that nothing can affect them.
The FAQ's preventing you (page 11):
(4.11) Agenda Cards
Agenda cards are not considered to be in play.
Further, the effects of an Agenda card cannot
be canceled.
Serazu said:
The claim on which plot is the one that should be taken into account when RV is used, the attacker's one or the RV player's one? I tend to think that the "as the defender" wording dictates that the RV player's plot claim is the important one. Right?
Why? All Red Vengeance does is letting the losing defender choose another player to suffer the claim effects of the challenge. The Claim value is decided by the number on the attacker's plot card. Why would that change?
Serazu said:
Can I use its ability to remove icons from a character that has already lost its icons or had none in the first plase? I do not think so. Am I right?
Sorry, wrong again 
In order to initiate an effect, you must meet the play restrictions (none here), pay the full costs (in this case, discarding the Orphan) and choose the targets. The card tells you to choose 1 character. It doesn't say "1 character with at least 1 icon" or anything similar. Nothing is preventing you from choosing a character without any icons.