Ok I've done all 5 tests. For tests 3, 4 and 5 a clean installation of iCUE was performed. The tests were done with about 15 consecutive hours per day of PC activity (gaming mainly) for 2 days, unless the issue occurred before. These are the results:
Test #1: Yes, black screen occurred.
Test #2: No, there was no issue, but seems that my keyboard (K95 Platinum) don't go off after the shut down.
Test #3:Yes, black screen occurred
Test #4: No, there was no issue.
Test #5: Yes, black screen occurred.