The difference between "on key pressed" and "on key down" is that the "on key pressed" event will fire only when the key has been down and then is released.
It's a trigger that only happens once whereas "on key down" can be checked every tick and is not a trigger.
For your second question, you can use the condition "platform is jumping
" and then set the animation to the one you want.
There are a few tutorials about making platformer games in the tutorials section of the site, as well as in the "How do I FAQ" (link in my signature).