SSL iframe is embedded on other web site

1. No.
2. You will only get a security error if the embedding site uses SSL, but the iFramed one does not. Whether the sites use different certificates or not, that does not matter.
3. No. (Isn’t this the same question as #1?)

Summary

Having different certificates between the main page and iframed pages is not a problem.

Embedding https:// pages with <iframe /> on a http:// page is not a problem.

However, if you are running a https:// secured page that embeds non-secure pages via http://, then you might get something like this (Internet Explorer):

It depends on the browser and its settings. For example, in IE you can turn this off: