Does ReplayGain work automaticly while playing songs (if set to "use album gain" in the settings)?
It doesn't get very clear in help files about if I have to manually have to activate the ReplayGain by rightclicking a selecting of songs and select "scan" or if it scans all files automaticly and storing the information while playing. Please enlighten me, I'm just asking because if this isn't the case I don't see the point in having the "use album gain" and "use track gain" option in the preferences.

If there isn't an option to do this automaticly while playing, would it be possible to add this to the "wishlist"? :-D

Also, is there a way to check if any ReplayGain info has already been stored in a selected audio file?

Its self-explanitory - enables replaygain in track mode or album mode. This relates to playback, not scanning, so it needs replaygain info in files. They also fallback to each other last time i checked.
Was there one time, got removed for some reasons. Just scan all your files & get it over and done with Right click, show file info - check in technical info, the replaygain fields are

replaygain_track_gain
replaygain_track_peak
replaygain_album_gain
replaygain_album_peak

if you scan for album gain you will get all four. You can also look in right click / replaygain / edit replaygain info (advanced), but i think show file info is easier.

You can also use titleformating to change colour of non replaygained scanned files, ask again if you dont see how..

edit: pcmixer also wrote some explanations here.

Scanning is both slow and involves editing tags. In many situations it can involve removeing or changing tag types. Doing this by defualt would be very bad IMO.

I got a bit confused because the settings didn't say it was for playback, I figured it would always use ReplayGain if the info was included, I didn't thought about the different stored values and all at first, sorry about that.

I didn't suggest to do the scanning by default but to have an option to do it automaticly.
On second though this isn't a very good option to have anyway (man, I don't know what my problem is today about the thinking part), it could be handy but you already get in trouble if you want album scans as well.

I think your hint is that your looking in playback options

i think bakground scaning is fairly uselss anyway