Cinna, I think he's alive. I think they either wanted information, to keep him hostage as a bargaining tool with Katniss, or to injure/make him into an Avox to show the public not to follow his rebellious influences. If they wanted to kill him, they could have just put a bullet through his chest and been done with it. Since they burst in at the last moment, maybe it was to distract Katniss/there was something very urgent. Maybe Cinna was about to tell her something they didn't want her knowing or something. Just theories.
I sure hope he's alive.
I don't think anything happened with Madge and Gale. Gale said he loves Katniss, we can be pretty sure of that. Maybe Madge has feelings for Gale. If I were her, though, and I had the medicine that could treat my friend's friend, I would give it to them as well. I think she was just being kind.