Is any difference between myopathy, myalgia, and rhabdomyolysis?

Yes. Myopathy means diseases of muscles like muscular dystrophy, myosotis. Myalgia means pain in muscle. Rhabdomyolysis means death of muscle fibers.
Yes, a lot . These terms are not interchangeable. Myopathy implies a problem with the muscle itself, many different causes. Myalgia just refers to muscle aches or pains, from any cause. Rhabdomyolisis is the breakdown of muscle cells from several causes. This can be a serious problem as it can lead to kidney problems.