No. You cannot change the battery of Sony MBH20. Sony MBH20 comes with in-built battery.
No. Sony MBH20 do not have volume control button. You cannot increase or decrease call volume but you can use your mobile phone's call volume control button for the same.
Yes, You shall receive USB Cable for the same as part of the standard packaging.
No. Sony MBH20 do not have FM radio.
None of the users have reported any heating problem about Sony MBH20.