Should intelligence agencies be merged to create a central EU agency?

Silly question. National agencies can coexist with an international agency (Europol, Interpol etc).

What do the intelligence agencies do with the "intelligence" they've gathered and the authority they're granted.

No, an intelligence agency is made to protect a constitution. If there will be a European constitution in the future, a European intelligence agency would be appropriate. Until then, European intelligence agencies should work together more tightly where they have shared interests.

No, but they should help each other.

Maybe. As long as privacy for EU Citizens and Residents is deeply respected