Here some short answers for your questions:
Does stateless bean have to implement interface that has @Local annotation?
Yes, of course. Since your are using EJB 3.0 you need for every SLSB and SFSB a @Local or @Remote annotated interface. This will change in the future with EJB 3.1 and so called LocalBeans.
If @Local is missed in the seam examples this must be a bug!
When to implement serializable?
The Serializeable Interface should be implemented for every SESSION, CONVERSTAION and PAGE scoped seam component that is not a EJB. EJBs are serializable by defaults since they are proxied. But you'll get warnings from the seam core!
Why I ask?
Hard to answer. But I think that should be a problem between conversation handling and stateful bean session handling. The EJB seems to get removed earlier than the conversation. That causes that the conversation tries to work on a bean that doesn't exist anymore.
Hope that helps!