Hi Shiwei,
Q2: You can use the LM96551 to reduce the number of supply by two. It has build in LDOs for the +/-40V.
Q3: When you use CW mode, you need to lower the VPP & VNN supplies to +/-5V or so. If you set the VPP & VVN supplies to +/-50V in CW mode, there is too much power for the pulser to handle. The reason the LM96530 is shorted is because VSUB (VSUB of LM96530 is connected to VSUB of LM96550) is higher than the LM96530 VSS pin. This condition causes latchup.
Q4: You are corrected.
Q5: It shouldn't oscillate. What is the rest of the circuit (after the LM96530) look like?
Regards,
Charles