Is this 2.85% the result of dividends that possibly could be missing from the data I downloaded (as you suggested)?

I don't know this index in particular, but yes, almost certainly the difference is due to dividends.

What does Price, Net, and Gross mean when selecting these options across from Index level?

I have no idea since I don't know which website you're looking at. Probably something to do with dividends, since as you note, one of the sets of numbers gets you the correct total return, so that set of numbers accounts for dividends.

Also the index itself is not traded, so when I see values priced in USD, what do those values actually mean/represent?

Again, guessing here since I don't know which website you're looking at. But almost certainly it's the price of one share of a mutual fund, ETF, or unit in a unit investment trust that invests in that index.

As a simple example, let me invent the secondcor521 index, which is 75% Apple stock and 25% General Motors. It's a stupid index, but let's ignore that for the sake of learning.

Now we create the secondcor521 mutual fund, which invests solely in the secondcor521 index. Since I have to establish a share price, let me start with a share price of $100.

You are my first customer and decide to buy 100 shares at $100, so you send me $10,000.

I take your $10,000 and invest according to the index - 75%, or $7500 into Apple stock, and 25%, or $2500 into General Motors. We could do the math and figure out how many shares of each stock that is, but it doesn't really matter. You can see that, as Apple and GM do well or not so well, the index will do well or not so well, and so will the mutual fund. If Apple's stock price doubles and GM stock price doubles also, then the $7,500 becomes $15,000 worth of Apple stock and the $2,500 becomes $5,000 of GM stock. The ratios are still the same, but the total is now $20,000. Since you own 100 shares, each share you own is worth $20,000 / 100 = $200.

So the mutual fund or ETF or whatever is selling you units or shares at some price, and if they do a proper job of investing into the stocks in the index at the same ratios as they exist in the index, and keep their overhead costs low, then the investment will track the index pretty well. If the index goes up 1% on Monday, the investment will also.

Hope that helps.