
No, users are generally not notified when documents subject to retention policies "expire". You can however integrate this into a workflow or run a script periodically I suppose. If you want to leverage a built-in feature, take a look into disposition, though it's probably an overkill for your scenario: https://learn.microsoft.com/en-us/microsoft-365/compliance/disposition?view=o365-worldwide
You can create multiple policies as needed, but do keep the "principles of retention" in mind: https://learn.microsoft.com/en-us/microsoft-365/compliance/retention?view=o365-worldwide#the-principles-of-retention-or-what-takes-precedence
"Shortest deletion period" wins, unless you also use policies that have a "retain" action. In which case, retention always wins.