As for the background problem, the blender yafray export currently only supports image textures as background, it will ignore anything else and only use the horizon constant color.
As for spots not appearing on the background, halo spots are not visible against the world background, you have to add some object behind it to make them visible. Same for light glows.
Not sure about the ‘lights not getting out’ problem, are there holes in the sphere or is it closed with a transparent material there? If it is transparent material, try disabling ‘traceable’ for that material.
Halo Spots in Blender don’t cast shadows unless you set halo step to some value other than 0, 1 it best quality, 12 is lowest but renders faster.