Azan times are not correct ?

Why is there a difference of one hour in azan times ?

Make sure the daylight saving time option (DST) is set correctly ( see DST setting in the user guide ).

How can I set the watch to beep 10 minutes before Magrib azan everyday ?

Suppose today’s Magrib azan is at 6:00 PM. Set Magrib alarm reminder to 5:50 PM.

( see Prayer Alarms setting in the user’s guide ). After this initial setting, Magrib reminder will be automatically adjusted everyday to beep 10 minutes before the azan.

Note : You can set reminder for any prayer for a fixed interval before or after azan time.

My country uses daylight saving time (DST) system. When time changes by one hour, how can the watch be adjusted ?

You need to adjust daylight saving time option (DST) ON or OFF.
Daylight saving time information can be found on : webexhibits.com

Does "QIBLA DIRECTION" in the clock means the arrow points to the actual direction of Qibla (Makkah), regardless which direction you hold the watch ?

No. The arrow indicates the qibla direction relative to North or Sun or Moon. In other words, you need to direct the North arrow to North or Sun arrow to the Sun or Moon arrow to the Moon, and then the Qibla arrow will point to Qibla.