Do you have a link to your latest results? That way we can all be talking to the same tihing.
The red line is an error (something failed to load) - probably a 404 response. If it is being served by a 3rd party then yes, you should probably ping them. If it is for an image then you’d have a broken image on the page, if it was for something else then the result depends on what it is.
A sprite will combine images together but doesn’t do anything for css and js - those are actually a LOT easier to combine since you can just merge the files together (though on a publishing platform like wordpress it is more difficult which is why there are plugins that can do it for you).
The CDN grade is a percentage of static requests that are served from a CDN. If you reduce the requests you control (which is a good thing) then the percentage of requests that are served by the 3rd party non-CDN actually goes up and makes your grade worse. This is one of the reasons I’m not a big fan of the grades because optimizing for the grades might end up backfiring.