Electrical – Is it common practice to connect power supply to a DB9

The page you linked to (http://www.imslsoft.com/cable.htm) includes tips on how to build the cables. There is mention of the Max233, but there are other possibilities as well.

For the 2.5mm, there is a dead link but the Waybackmachine has a copy: 2.5mm Casio serial cable at the Waybackmachine. In fact, all of the Casio stuff seems to be pretty outdated with loads of dead links - the Waybackmachine is really your friend.

You apparently aren't the first to have problems with the Casio devices. Fortunately, a lot of people put their efforts on the Internet where it can be found.

This page says that your SF8000 uses the same cable as a metric crap load of other Casio devices. The (fuzzy) picture of the adapter also gives a US patent number, which leads to this patent which includes a circuit diagram of the adapter, and which matches the one that that I linked to from the Waybackmachine.

In your place, I'd use the Waybackmachine link since it includes some notes on the parts and values used. In general, all the parts look like garden variety parts you should be able to order from any supply house.

More info that you can only get from the Waybackmachine. Includes more tips on the FET and D1.

For completeness, here's the circuit diagram from the patent:

They're the two sets of pins leading downwards on the sides of the connector.

Is it connected to chassis ground or is it an NC just to provide more stability for the mechanical and vibration protection?

Yes. That is to say, they are always for mechanical stability, and sometimes for chassis ground when the application calls for it.