The flour from the grind is very normal- just a part of the process. You don't want a TON, but you should expect some. Leave it in- it will help your efficiency. I don't think you'll get any noticeable tannins from the small amount of grain that escapes the bag- I had a paint strainer bag rip on me (my fault) and got a few grains in and boiled them to no ill effect.
I highly recommend the home depot 5gal paint strainer bags- tight enough that no grains will get through (unless you rip it, like I did) and loose enough that you get plenty of wort circulation. The bag you use for your PM won't matter- use whichever you prefer.
I can't be arsed to keep up this list of what's in the fermenters, but hey, check out the cool brewery I own!
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