"Il s’en alla" is correct; use a conjugation reference, a conjugation web page for instance; you get all forms and the missing forms are shown. (confirmation)

There is no difference in meaning at all; the only difference is the register.
You would use the "passé composé" normally, as the "passé simple" is only literary (rare in the spoken language and everyday written communications).

• Je m’en suis allé, tu t’en es allé, il s’en est allé, etc.

"Je m’en fus" is an idiomatic form that does not exist in the "présent" nor in the "passé composé". "Je m’en suis été, tu t’en es été,…" are not used.

Here is a link that will provide some precisions: s’en être.