Yes, all come into jail and with all your equipment and inclusive weapons - but they can not harm anyway since the hole environement is invulnerable, thus no need to disarm the imprisoned chars...
And there are not two Lothars really, because... well ...it's rather Lothar's twin-brother
that you will encounter as combat mage then (and Deru's twin-sister will be nature mage).
Actually veteran and elite mode are simple replays (with stronger loot and weaker monsters, subjectively) and these later modes obtained notably less attention form GPG than mercenary mode.
However if you plan to play these modes too you could skip very well in mercenary mode some side-quests or partymember related quest to make them later in the veteran/elite.