When I KO a figure and the Soul Gem is showing on my Gauntlet, am I forced to heal 2 Damage or can I choose not to if I like the Click my character is on?

Quote the power, It helps!

there is no "May" so you must heal if you can

Does the character using the soul gem via the gauntlet heal 2 or 3 clicks upon a KO? Steal energy allows you to heal 1 click while the soul gem allows you to heal 2. Do you add them up or no?

Depends. Did you use a close combat attack to do that KO-ing?

If so, you would heal 3 (1 for Steal Energy and 2 for the Soul Gem).

If not, you would only heal 2 (Steal Energy only cares about close combat attacks).

Steal energy will allow you to heal 1 with every Close Combat Attack, while the other half of the effect is for every KO close or ranged. So if you do a close combat attack and KO a character you can heal 3 clicks yes.