If you mark a note wrong, it stays in the lesson. In the preferences, you can also change the behavior of what happens when a note is wrong. You may want it to reset the whole lesson schedule for that note.
There is not really a way to just look at the wrong notes, but you can sort the notes by their lesson progress, and that way you can see the ones that you know least well. Just click on the header of the column with the pie charts.
You can study just the lesson notes in a particular case. Select the case, and choose the 'Study Lesson Notes in Case' menu item.
I would just use the 'normal' schedule, which is the standard spaced repetition algorithm. The others just double or triple each interval.
To keep the lesson on your iPhone up to date, best to sync regularly, such as daily.