You can pray without a certain knowledge. You pray on the assumption that the intercessor is in Heaven, and if he is not, the prayer goes unanswered. In the case of a saint of the Church, we know because of the canonization that examined signs of sainthood.
A saint is not a sinless person (you bring up St. Peter whose sinful nature is amply described in the Gospel). The fact that you have a grievance against St. Thomas More but not against St. Peter does not invalidate St. Thomas More's status as a martyr.
God was pretty mad at Saul about the whole affair
The Church teaches that the fathers of the Hebrews were not a part of the Communion of Saints till Christ rescued them from the Limbo, so the entire Old Testament line of argument is moot.