Pretty sure this is normal. On my eyefinity setup I only get two screens displaying anything (and it's a cloned dispaly at that point) but as soon as it hits the windows login screen the third monitor kicks on and everything spans across all three.
As has been stated a few times already if you are intending to run in windowed mode then you would be throwing your money away getting an Xfire setup as it is not enabled unless the game is running in full screen.
As far as Xfire setups in general I have not had any issues with my Xfire 5870...
HDMI is fine. I use it on my media PC to output directly to a 50" plasma.
Also one of the displays in my Eyefinity setup is using HDMI...no problems with it ever