It's preferable to install the oldest version first, progressing to newer ones.
There are Shared utilities like, vstscan, plugin manager etc that may be overwritten on installation so it's feasible that a newer version may be overwritten by an older one.
Tread carefully and make sure to read windows that pop up during installations. Mind you, you can do advanced installs selecting just various plugins you want without any risk. The only exception to this is VVocal that requires the whole Sonar program installed because you don't see it a selection during an advanced install. I don't think VVocal needs the Sonar program, its just the way the installer is packaged though don't quote me on it. It's just a conclusion I came to from my own experience with trouble shooting VVocal problems in the past.
You shouldn't have to copy anything as that would be taken care of by the paths set for VST scanning. If you mean the actual plugin program folder eg for a softsynth, then no you can't do that.
The dll files that are the actual VST plugin can usually be moved around as you like, don't forget to redirect the scan paths for Sonar if you do move them. Don't move any DX or DXi plugins or folders as they require an installation process which registers them in the Windows registry. Hope that answers all your question.