Explanation
Case escalation rules are used to escalate cases that have not been resolved within a certain time frame by changing the case owner, sending email notifications, or triggering workflow actions. You can use these actions to alert the appropriate users or groups when a case needs urgent attention or escalation.
References:https://help.salesforce.com/s/articleView?id=sf.customize_caseesc.htm&type=5

Explanation
Auto-response rules are used to automatically send email responses to lead or case submissions based on the criteria you define. You cancreate one auto-response rule per object (lead or case) and configure multiple rule entries with different criteria and actions within that rule. To meet the requirement of sending different email notifications based on case priority, you need to create one auto-response rule for cases and configure three rule entries with filters for low-priority, medium-priority, and high-priority cases respectively. Then you need to select the appropriate email template for each rule entry action. References:
https://help.salesforce.com/s/articleView?id=sf.customize_leadsautor.htm&type=5https://help.salesforce.com/s/a

Explanation
To make sure the custom picklist field values are populated on contact when leads are converted, you need to create a custom picklist field on contact and map it to the corresponding field on lead.
References: https://help.salesforce.com/s/articleView?id=sf.convert_lead_mapping.htm&type=5
https://help.salesforce.com/s/articleView?id=sf.customize_fields.htm&type=5