If my opponent attacked with Magby's "Scorching Heater" attack last turn and I evolve into Espathra with "Stance" Ability this turn, will my Espathra receive the 6 damage counters from "Scorching Heater" if it attacks and does damage to Magby?
No, it will not receive the 6 damage counters. Stance prevents all effects of your opponent's attacks, and Scorching Heater's damage counters are an effect of your opponent's attack.
Source: TPCi Rules Team (2023-11-09)
If Aegislash uses its "Hard Bashing" attack against an Espathra with "Stance" that evolved last turn, will I damage it or not?
Yes. Hard Bashing gets through all effects, including Stance.
Source: TPCi Rules Team (2023-11-09)
If my Espathra with the activated "Stance" Ability protection is moved to or from my Bench during my opponent's turn by a switching action such as Boss's Orders is it no longer protected?
It is still protected. It is an effect from an Ability, not from an attack, and so is not removed by moving to or from the bench.
Source: Paradox Rift FAQ; TPCi Rules Team (2023-11-02)
If my Active Pokemon evolves into Lucario and uses its "Stance" Ability, does its effect get cleared if it moves to the Bench?
No, its effect remains.
Source: Burning Shadows FAQ (2017-07-20), TPCi Rules Team (2017-08-03)