The troupe themselves come from Sigil, but if you mean the ingame quest, no. The quest takes you to an extraplanar prison.
That's right. I remember not liking that quest very much because of that wonky mechanic of the rooms you got sucked down into and were immediately attacked.
As for the Mind Flayers, I got the impression from an interview that they might be a bit of a head fake by Larian, and that something worse will end up being the primary enemy.
