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As for your first question, concerning nonaffine R-varieties as you call them, yes, there are nonaffine R-varieties. However, they are considered pathological. Example 12.1.5 on page 301 of Bochnak-Coste-Roy, Real algebraic geometry, constructs an R-line bundle over $\mathbf R^2$ whose total space is not affine. In fact, it is not affine since it does not ...