In my experience, it is quite common for HMRC to make enquries into negligible value claims. The fact that they have enquired does not mean they think the claim is wrong. But experience will tell them that claims of this nature very often fail to meet the statutory conditions for relief, and that they are worth checking.
They are fairly standard questions, though I don't recall HMRC asking for share certificates before. Still, it's a reasonable enough request, as are the others.
Very often, the stumbling block is that the shares did not BECOME of negligible value, because they were always valueless. This will often happen when capital has been injected when the balance sheet showed an insolvent position. In such cases, a negligible value claim will fail.
If the negligible value claim fails, it should be possible to claim a capital loss when the company is wound up and dissolved.