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Physics provides movement that is dynamic. While the keyed part of your animation may loop perfectly, the movement from physics almost definitely won't. Why would it? Just play your animation and you'll see it doesn't loop. Expecting it to loop doesn't make any sense.
In some cases you may be able to let the animation play long enough that the physics does loop. However, it may not loop perfectly because there is no guarantee that the exact positions will land on the number of frames your animation loops. It may not even loop at all. Some physics settings will not result in repetitive motion even when the keyed movement repeats.
If you want perfect looping, like to export a GIF, then you shouldn't use physics. Physics is for dynamic movement. One of the best parts about physics is that it DOESN'T repeat! The dynamic movement is not usually repetitive, especially across multiple animations or movement in the game world. It gives your animations awesome dynamic movement without much effort, but it isn't going to loop.
Re: local space, we'd like to get 4.2 finished up and released as non-beta so it will be stable and more people can use it. Mapping the world movement of physics back to local space is difficult and probably won't make it into 4.2.