I don't think there is an issue with him bringing in his 'comfort' object. Just as long as he does not chew it, then there does not seem reason for alarm.
As far as the way he pee's..not sure when you had him neutered but this is not unusual for dogs to do this either. Infact I have 3 male dogs that pee like this in the backyard, however all three will lift their leg while on walks.
I think that when they pee as puppies do, it is a 'true' pee - meaning that they are doing this to relieve themselves because they truly have to go. When they lift the leg and 'spot' pee, this is a territorial pee to mark high.
This is my take on the whole pee situation anyways.
As far has him bringing in something that he loves..I think that is rather cute.