EMD Problem?

EMD's are valuable if they aren't spammy and especially if they contain your keywords. Having your keyword in the URL doesn't hurt.

When people say "EMD's don't work anymore" what they mean is "END's do not get special consideration like they used to anymore".

No one is penalizing an EMD domain, unless the END is obviously spammy, or it's a low quality site. Even then the penalty is quality related..

I have one EMD sitting at #4 in google for its keyword with only on page seo, no links.

I've got about ~8 EMDs ranked for decently competitive keywords over the last month, so, no there doesn't seem to be a problem though 8 sites is an extremely small sample size and you can't make any conclusions from that.

Yes - make sure you make it a good looking site with a lot of content, 5 page sites aren't what they used to be.