Questions relating to Sigma & Finite Automata

Hello Everyone,

My problem is this that :

1. The alphabet (also known as Sigma) may consists of anything except Null. Why null can't be a part of alphabets.

2. Finite Automata (FA) has some limitations / restrictions due to which we cannot make FA for many languages, Can any one tell me any two of such restrictions / limitations, and also is there any model that deals with them, if yes, then which model and how? If no, then why can't we overcome these limitations / restrictions?

Thanks for helping me.

regards.
MKQ