Word for word, the translation would be "I know from where comes he." There are a couple of interesting features. (1) Italian allows the subject ("lui") to be moved to the end, while English does not. (2) English allows the prepositional phrase "from where" to be broken up and the proposition "from" to be moved to the end, while Italian does not. I don't know whether you would count that as an explanation.
In Italian you need to treat "da dove" as a phrase that cannot be broken up. It has to be "So da dove . . ", - but then you are much more free with the subject (lui).
Unlike in English you can often even omit it and just say "So da dove viene". This is possible as the verb "viene" is conjugated and already contains information about who the subject is (io vengo, tu vieni, lui/lei viene etcetera).
If you specify the subject that is normally done to put some emphasis, e.g. to clarify that it is him and not her you are referring to. And by putting the subject last in the sentence you ad extra emphasis to that it is lui you are referring to.
Master Yoda, it is with an older grammar you speak. As Winston Churchil said, "Ending a sentence with a preposition is something up with which I will not put".
I believe you could, but putting lui at the end in Italian is sort of like stressing the word "he". Since "viene" already implies "he/she/you-formal" you don't normally need to see lui at all unless it's not clear who you're talking about, so it would be like saying "I know where HE's from" (as opposed to the other people in the group).
Depends what you mean by about. If you mean "roughly" you could say "so circa da dove viene" or "so più o meno da dove viene." If you mean that you know things about the place where he's from you could say something like "so del posto da dove viene" or if you know it well, like you've spent a lot of time there, then maybe "conosco da dove viene."
I know some people say that, and sometimes I personally prefer it but it's not a rule that should be taken as gospel.
"I know where does he come from" should be "I know where he comes from", "I know where he does come from" or, if you are going to take into account not ending a sentence with a preposition, "I know from where he comes" which sounds a little awkward
I typed in, "I know from where he comes", the first time and got it wrong. Reluctant to accept bad grammar, I typed it in again and it was accepted the second cycle. Keep up the good fight.