Here is what I think

1.2. When it happens, I'll go directly to B for his opinion. Afterall, he IS your direct boss, wether to do it or not, you need his approval.

3. You should have try to get it resolved with A first before you talk to HR or his boss.

4. If it was just a joke, I would let it go. But if you don't feel confortable with what he said, again, point it out to him first.

5. What you could ask is what he think you should do to achieve these goals. Unless he suggested something wrong, I don't see anything wrong with what he said.