1) At this time, the Converter (Three-Phase) block does not support a thermal port, so yes, you would need to build it up out of more fundamental components.
2) The diode switching losses are difficult to scale correctly using only Err values, so if you would like to include these, you need to enable the "Protection diode with charge dynamics", and select the other parameters as appropriate for your device (using iRM, etc.). This will dynamically simulate the diode switching losses, and then they will be included as heat onto the thermal port.
3) If you need a different thermal network for the diode and IGBT, then you will need to use a separate Diode block and turn off the Integral protection diode inside the IGBT. The Diode block can similarly simulate charge dynamics for switching losses.