Hello Nicklas,
I have answered your questions in order below. If you have another other questions, please let us know.
1) If your iterations are not shared between projects, it should be possible to use the iteration scheduler in WIM to configure the dates for your project only. The dashboard will use this schedule to show only the data pertaining to the "current" iteration.
2) It is not currently possible to get WIM to use sprints, however, every sprint you create has an associated iteration which is what WIM uses (I'm assuming you're using Cochango's Scrum template, correct?). You can use the iteration scheduler to set dates on iterations instead and everything should work fine in WIM.
3) The way it works right now you cannot use the Area/Iteration filter pane to filter by both Area and Iteration at the same time. But if Area or Iteration was a column in your grid, then you could use the column filter to achieve the same result.
4) No you cannot use a query from the "My Queries" section in the Task Board. The reason for this is that the query used for the Task Board is ideally meant to be shared across a team so that everybody is looking at the same data.
Regards,
Joel