1. How can I set the location of the Griffith DB? Background: I want to share the DB between my Desktop and Notebook via a network share. Is the data storage format compatible with the Linux version?
You can find griffith dir in My documents
If you want to use that database on Linux, remember to delete griffith.conf (it is not compatible) and (depending on what version of sqlite you use) convert griffith.gri, do something like this:
sqlite3 ~/.griffith/griffith.gri .dump | sqlite /tmp/griffith.gri && mv /tmp/griffith.gri ~/.griffith/
2. When will 0.6 be availabe for Win32?
soon, really

3. Appearantly, the "By Collection" filter field is not updated when new collections are added. I had to restart Griffith to get it visible.
fixed in 0.6