Is any quality lost?
No. PNG bytes are embedded in the document untouched, with no re-encoding, so a screenshot in the PDF is pixel for pixel the screenshot you added.
Add the screenshots, put them in the right order. Pages start at A4 because a PNG is usually something that will be printed or filed rather than looked at once — switch to Match each image if you want no margins.
Result
pages
No. PNG bytes are embedded in the document untouched, with no re-encoding, so a screenshot in the PDF is pixel for pixel the screenshot you added.
Because PNG is lossless and screenshots of text compress badly. Ten full-screen captures can easily make a twenty-megabyte PDF. If size matters more than sharpness, save the images as JPG first and use the JPG to PDF page.
They become white. A PDF page has no transparency, and leaving it undefined lets a dark-mode viewer render the page black with black text on it.
Yes — the tool accepts JPEG, PNG, WebP, AVIF, GIF, BMP and HEIC together. The only thing this page changes is where the page size starts.