Can I then tap Infantry Veteran to give Stormfront Pegasus +1/+1, or would that make him blockable again because he is no longer power 2 or less?
Yes you can.
2. Magma Phoenix does 3 damage to all creatures and players when it is put into the graveyard. Does that include Planeswalkers? They can be targeted like players but they don't actually fit into the players or creatures category.
No. Planeswalkers are not creatures or players.