>> 1) Can the PT-3 be shielded in some way to stop it interfering with the EF86s?
Probably, but it will become a research project. First step is to determine if that is necessary - nothing but trial and error will work reliably there! For shielding close to the transformer where the fields are large calls for soft iron, and fairly thick - maybe 80-100 mils? A strap around the core (covering the exposed edges) has been suggested. A high-mu shield can would be the next step. Hard to source!
Some alternatives are remote power supplies, PT-5 (Eros) power supplies for the Foreplays, or doubling up - a single PT-3 can power two Extended Foreplay III circuits, so you could get away with only the furthest two PT-3s. It's not clear what the phase splitter is, or what power it needs - that would be the closest transformer after the Eros' own unit.
>> 2) Can I run the eros / fp3s in the stereo section without coupling caps?
No, but the Eros output cap can be smaller since you know the load impedance and are probably well shielded. Could go as low as 0.1uF I think. That makes a better cap more affordable!