As Jess said, this warning is nothing to worry about, if there was a redis connection error there would be a red angry error stating the return message from the redis server/driver.
This needs to be set to a value, though AFAIK it may default to a value if set to 0.
Correct, this setting is specifically if you are using a redis cluster - it is a very different configuration to load balancing.
That's a bit more serious, it means that Tyk could not connect to the redis instance, or that it was connected, but redis terminated the connection and returned nil.
If the pump is working, you will see it "purging x records".
I would suggest to set the purge delay to lower (easier to debug) to say 2 seconds or so, you can check if Tyk Pump is connected to redis by killing redis, the pump should start spouting errors.
I noticed earlier you said that redis is load balanced - is your redis service load balanced? If it is, there is a possibility that Tyk Pump is purging from an empty node, because redis does not load balance unless you are using a redis cluster in clustered mode.