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Reckless Endangerment isn't in battle, so Burning Bush couldn't try to target it. In any case, RE is from a previous turn which by definition cannot be negated.
I would say that based on the Herod's Treachery/HA2 ruling, triggering a CBN ability (in this case RE, in that case the capture) makes the trigger (in this case the discard card, in that case the withdraw card) essentially uninterruptable. So I think the hero in battle cannot interrupt himself being discarded. I can possibly see it the other way though.
But we are not interrupting The CBN ability, we are interrupting the trigger which can be interrupted. I don't see why I can't negate a trigger that makes no logical sense.
No, you don't get special initiative. Placed enhancements cannot be negated after a turn.
That sounds convoluted and confusing.
Perhaps the cannot-be-negatedness of abilities completed on previous phases doesn't include indirect negation while cannot-be-negatedness when it appears on a card does include indirect negation.
Perhaps my ruling about Herod's Treachery was wrong.