Could you explain why the second one doesn't work? Does it have to do with the fact that "hol" and "van" are no longer beside each other? I don't really know enough about the language yet to understand it myself. ;)
as a native speaker i never studied the language from this respect, so it's a bit hard, but i think it's what you suspect: "hol" and "van" should not be separated. (and it's the same with other questions, like "mikor" (when) or "miért" (why).)
I'd add that miért is a bit odd-one-out here because you don't really ask about a certain detail but you ask about the reason of a certain case. Hence, focus can remain on something else and miért will precede the focused part.
That's a correct sentence... accidentally. Most of the time you can't omit van if you see an adverb and locatives are adverbs. In certain simple cases, just like your sentence, you can break this rule in favor of omitting van.
Hungarian has the polite version as well: "hölgy". Besides, the other courses are also strict in this regard. You are at level 7 in German; could you use both "Frau" and "Dame" interchangeably for woman?