that's normal! you will always get that message in the UI if you kill siad.
another thing i remember is that i could sometimes trigger it if i copied files around. especially the large consensus.db file. I could just copy-paste it to another folder on that disk and then the disk would crash, also without Sia running. That's why i first thought it's a Sia problem but later i saw that it also happens with other files and then i concluded it's a disk problem.
I guess it's best to just run siad in the command window and see if you get some error message. Maybe also delete all the *.log files first so that new ones will be created. Then it's easier to see if there are any messages in the logs.
The address changing is normal; the UI generates a new address for you when you click the 'Receive' button, to discourage address reuse and encourage anonymity. You can see all your addresses by typing 'wallet addresses' in the Terminal plugin. You will always be able to receive coins at an address you generate with 'Receive Siacoin'.