The question is, if I add a third qubit and a CNOT gate, as below, can
we say that q2 is entangled with q0 as well?
Yes.
I mean, can I actually use the CNOT gate to entangle multiple qubits
like that (considering that the first two are already entangled)?
Yes.
What if I apply another CNOT like below, will it kill entanglement
between q2 and the other two qubits? or will it just have no effect?
In that specific case, yes. Because applying $CNOT(0,1)$ with a consequitve $CNOT(1,2)$ - For $q_2$ it's like applying $CNOT(0,2)$ (Given that the initial state of $q_1$ is indeed $|0\rangle$).
And if I measure q2 at that point, will q0 and q1 still be entangled?
Yes, $q_0$ and $q_1$ will still be entangled after you measure $q_2$ because as aforementioned, the combination of gates being applied canceled the entanglement created at first.
I assume that if q2 is at any point entangled with the other two
qubits, if you measure q2, then the other two qubits will collapse
immediately (as per the "spooky action at a distance" behaviour).
This assumption is wrong. If $q_2$ would have been entangled at this moment, then a collapse would have occured in the qubits entangled to $q_2$. But $q_2$ is not entangled when measured.
I have added some barriers to your circuit so that we can speak easily on the statevector's evolution:
Using little-endian - as in Qiskit:
- In the first line the statevector of the system is $|\psi_1\rangle = \frac{1}{\sqrt{2}}(|000\rangle + |011\rangle)$. $q_0$ and $q_1$ are entangled with each other.
- In the second line the statevector of the system is $|\psi_2\rangle = \frac{1}{\sqrt{2}}(|000\rangle + |111\rangle)$. Now all the 3 qubits are entangled.
- In the third line the statevector of the system is again $|\psi_3\rangle = \frac{1}{\sqrt{2}}(|000\rangle + |011\rangle)$. $q_2$ is no longer entangled.
- In the fourth line - $q_2$ is "out of the game" because we measured it. $q_2$ is not entangled at the point of measurement so it doesn't affect the statevector of the system (which is now consisted of the qubits $q_0$ and $q_1$). So in the fourth line the statevector of the system is $|\psi_4\rangle = \frac{1}{\sqrt{2}}(|00\rangle + |11\rangle)$.
I think that treating entanglement as a "spooky" or some magical phenomenon causes confusion. Try thinking about entanglement as correlation created between quantum bits due to superposition and controlled operations. Any unitary operation in a quantum circuit is reversible so it's not surprising that entanglement can be undone - like any other unitary operation in a quantum circuit.