"Wat willen ze hierbij" means that they have something, and they want to add something else. Let's say you have some coffee. The café has some amazing pies, so the waiter asks "Wilt u er nog wat bij?" ('Would you like something with it'). ("Erbij" and "hierbij" are similar)
"Wat willen ze hiermee" means something else. I don't know how to explain this, so let me give you some examples:
- Wat wil je hiermee zeggen? - What do you want to say with this?
- Wat moet ik hiermee? - What should I do with this?
- Ik kan hiermee leven. - I can live with this
No. The reason for this particular module is to teach us that in Dutch, you never say "with it" or "with this", etc. It is always the Dutch equivalent of "therewith" or "herewith", etc.
(When you are talking about people instead of things, the pattern is different. Then you can use a preposition followed by a pronoun. But not with things!)