The Colony usually buys slave directly, but they might have agreements in place with other trainers, to send small groups of appropriate slaves along. Yes, a Fae could stay at the Colony, and any vampire with decent self control could certainly drink from a Fae in moderation. Any slave who is unowned would either be at the Colony, at the auction house, or could perhaps be owned by a NPC, until a played Master is found.
The excessive use of photokenisis only drains a Fae temporarily, but they more they do it, the longer it takes to recharge.