Roman Writing

Your first question can be answered with a very simple "yes". The Romans - and the Greeks before them, and the Egyptians before them I believe - were well used to such rhetorical devices. Here's a complex example from Catullus poem 65, where he's apologising to his friend Hortalus for the delay in sending him any poetry due to mourning his brother's death (translation my own below);

sed tamen in tantis maeroribus, Ortale, mitto

haec expressa tibi carmina Battiadae,

ne tua dicta vagis nequiquam credita ventis

effluxisse meo forte putes animo,

ut missum sponsi furtivo munere malum

procurrit casto virginis e gremio,

quod miserae oblitae molli sub veste locatum, 

dum adventu matris prosilit, excutitur,

atque illud prono praeceps agitur decursu,

huic manat tristi conscius ore rubor.

And yet, Hortalus, I send to you, amidst such great sorrows these copied Callimachean poems, in case you chance to think that your words, totally disbelieved, had slipped from my mind on wandering winds, like an apple, sent as a secret gift from a fiancé, spills forth from the chaste lap of a maiden - an apple which, placed under the soft dress of the poor, forgetful girl, as she leaps up at the arrival of her mother, is shaken out, and it is driven headlong in a downward roll, and a guilty blush spreads on her sad face.

Here we've got the perhaps straightforward metaphor of words vanishing on winds to suggest forgetfulness. The extended simile, however, of the apple, deserves closer analysis. Why is Catullus comparing his "copied Callimachean poems" to a furtive gift, and what does that suggest about his relationship with Hortalus (if anything - is he just kidding around)? What is the significance of the apple in Roman literature, particularly in a romantic context?

For allegory, something I've been reading recently would be a particular good example - Apuleius's Metamorphoses, a comic novel about the misadventures of a randy Roman who gets turned into a donkey by a magic spell before undergoing a religious epiphany and devoting himself to the Egyptian goddess Isis (obviously). A major "inset narrative" in the novel is the story of Cupid and Psyche, a myth about a beautiful but very stupid girl who falls in love with the god of desire. All ends happily with Cupid and Psyche wed and their daughter safely born. It's a cleverly written piece of mythology... with central characters called "Desire" and "Soul", who give birth to a child called "Delight", heavily influenced by Platonic conceptions of the soul... (the inset narrative is in Books 4 and 5 of the Metamorphoses; E. J. Kenney's parallel Latin/English edition for CUP is superb on this material).

Your question suggests you've never read anything Roman; get yourself on a website like poetryintranslation.com and browse for something that takes your interest.

Roman Lit Crit

There is a superb translation collection of ancient literary criticism in Russell and Winterbottom's Ancient Literary Criticism (OUP 1972). The tradition of literary criticism is certainly present in classical Greece before even getting to the Romans; Aristotle's Poetics draws on examples of popular tragedies in its critique of what makes a good plot, and the raucous second half of Aristophanes's comedy Frogs is a fantastical masterpiece of literary criticism and parody as entertainment, as two dead playwrights battle it out to prove who's better by pulling each others' stylistic tics to shreds. Similarly Roman authors would write critically of each other's works or abstractly of what makes for a good speech or similar (Cicero and Quintilian are but two examples).

However, what I think you're more interested in is less "criticism" and more "commentary", and for that we have to turn to something slightly different; what are known as scholia. Scholia are basically comments scribbled in the margins of ancient copies of texts by scribes or critics, often justifying textual choices but occasionally commenting on matters of technique. N. J. Richardson's Literary Criticism in the Exegetical Scholia to the Iliad: A Sketch (CQ 30.2 (1980)) delves into several of these scholia on Homer's Iliad in accessible detail, but particularly p. 279ff. (Richardson's discussion of the scholia relating to Homer's similes, and how they are often linked to explaining how effective they are) is very relevant. While I am again talking about Greece here, Richardson notes that it is possible that some of these comments date from late Hellenistic/early Roman times instead of being purely Hellenic in origin.

TL;DR

i) Yes, all the bloody time, otherwise I wouldn't have much of a job to speak of.

ii) Yes.