1) A list can be created on a SharePoint site and the items can be displayed on another site collection using the Highlighted content webpart. You can use Query text (KQL) to focus the content on list items that meet your need. With that said, if you are looking for a master list and want child lists to contain the same data, I recommend using Power Automate to create a flow for new items being added in the master list. The flow will then create new items in your child lists to display the same data.
2) My Lists is hosted by OneDrive for Business. These are considered personal lists vs site lists. If looking to create a list where just you are working on it, I recommend OneDrive for Business. If looking to create a list where collaboration of multiple people occurs, I recommend creating the list in a SharePoint site.