After cutting circle in cube face with Knife Project,can't select the full loop

.blend file here:
http://www.fileswap.com/dl/VKJemNXMkq/

Hello.
After cutting a circle on the cube face with Knife Project and making a hole, I have several questions:
Why the cube looks so bad with Smooth Shading? Apparently normals seem fine. I have found that with the Edge Split modifier I can make it look good, but I do not know if that’s the right way to solve the problem, and I do not know if this method would work with other surfaces.

Why is not possible select the full edge loop in the cube circle cut with Shift+Alt+RMB? I have found that selecting all vertices in the cut and with E to extrude, then I can select the entire loop, but this inserts doubles. What would be the proper way to “connect” these vertices so that the full loop can be selected using Shift+Alt+RMB?

Thanks!

Edit:
I just realized that the cut has no influence on the first problem (bad look). The problem arises by subdividing the cube. So the first question would be, why does this happen when subdivide the cube? What is the correct method to fix it?

Why is not possible select the full edge loop in the cube circle cut with Shift+Alt+RMB? I have found that selecting all vertices in the cut and with Ctrl+E to extrude, then I can select the entire loop, but this inserts doubles. What would be the proper way to “connect” these vertices so that the full loop can be selected using Shift+Alt+RMB?
Get rid of all those ngons you’ve created

Personally, I would subdivide the cube before cutting a circle through it. I think you’ll like the resulting geometry much better; or, maybe not. Give it a try.

I would also step-back and consider whether a surface (based on mathematical curves) could be a better starting-point for my geometry.

Thank you both for the answers.

I just read something about ngons. Is there any automatic method to rid of all those ngons? Doing that, I will lose the subdivición/geometry in this face?
I have realized that before I had done it in the wrong way to just extrude and RMB (that is why doubles appear). Now I extrude then RMB and S to scale a very small amount. Anyway to do that, I have to manually select the vertices first, and I do not know if it would be the best way to work in a more complex case.

Making the Cut without subdividing the cube, then it is easier to select the full loop in two steps. But I wanted to know how to select the entire loop with Alt+Shift+RMB in case I run into something like what I had posed.

I really did not plan in advance any project or geometry. I was just practicing with “Knife Project” and I’ve run into this. I wanted to know what was the way to solve these problems, if I run into the same problem in more complex cases.