Can I weld this directly, or does it need surface prep?

Weld it as-is. Bare mild steel takes TIG and MIG without wire feed issues. Just clean the joint area before you strike an arc to keep your bead clean.

Do I need to paint this before or after installation?

Either works. Bare steel will start to surface rust if left exposed, so prime and paint it soon after welding. Paint after install if the finished position makes prep easier; prime it before if you want to move it around your shop first.

Will this bend or collapse if I try to reshape it?

Mandrel bending keeps the tube round inside, but mild steel is relatively soft—cold bending by hand will kink it. Use a proper exhaust bender or heat it and work slowly if you need to adjust the angle.