1. Can I use the Saved card before the target plays Missed cards or similar? (the text of Saved card talk about "[...] prevent [...]").
No, you can use it after the target player had the chance to play a Missed!
2. Can I use Escape card in order to escape from a duel that I've played to another player, when I finish the Bang card?
You can play Escape to avoid completely the effect of a brown card, but you can't play it after having trigger it! This means you can play it to totally avoid the Duel effect, but you cannot play it after the opponent and/or you have started to resolve its effect (i.e.: discarding BANG!s in a Duel).
3. Can I use any card as Bang with Lemat into a duel?
No, BANG! cards in a Duel are discarded, not played.
Hope this will help