The bread is from Brasserie Bread. I like it a lot, but the wife ranks Bourke St a little higher. If baked good are your thing, you can drop in to La Renaissance Patisserie right next to the market for more French pastries, macarons, etc.
Prepared food is pricey for market food, but about what to expect given the location. Fine Foods does wagyu burgers and some nice sausages. Lowenbrau also have a regular stall selling foot-long German hotdogs with sauerkraut and other things. There's also some gelato, fresh cannoli, nuts, candies, and a few non-food crafted goods.
On Eveleigh Market, the location is indeed adjacent to Redfern, a suburb of varied salubriousness, but also an easy walk from Darlington, Chippendale, and the nearer parts of Newtown and Erskineville.
Other regular maket options would be the South Sydney Industrial Markets, every Sunday in Alexandria; or the Entertainment Quarter markets every Wed, Sat, Sun at Moore Park.
No, they have a decent amount of heat. Probably a little less than a jalapeno. Mild compared to a birdseye or a habanero, but not like a poblano.