Older games used a kind of cheap alpha blending emulation, called "additive blending", where visual effect sprite was just added to pixels in the framebuffer, instead of doing the complete blending equation.
When you see visual effects with black background, and without a hint of an alpha channel, they are meant to be blended using additive blending. You ...
If your IDE has a decompiler, you may want to explore the base Game class. You will see:
protected virtual void LoadContent()
protected virtual void Initialize()
this._graphicsDeviceService = (IGraphicsDeviceService) this.Services.GetService(typeof (...
Should I be processing data from all the clients in the same thread like this?
Yes, a single thread for all clients. Although there is an argument for multiple server threads and even they talking among them, do not start there. That is what you do in preparation to moving one server to another machine. There is plenty to do before you worry about that.