As to your questions:
1. Indeed, the e.Query you get when the LoadingData method is raised is the final query that is going to be executed. May I ask you to share a link of the document you are referring to? How do you try changing the query?
2. The QDSCV is a very thin wrapper over the DomainContext. It does not do anything on its own -- it simply calls the DomainContext.Load method. In other words, all the works is done by WCF RIA Services -- we do not do anything additional except for building the EntityQuery based on the filtering, sorting and paging criteria.
3. When the LoadedData event is raised, the LoadedDataEventArgs does not provide an information on the current page index. Would you please clarify your question a bit?