I can't give you a technical answer :)
I will give you an answer from a colloquial perspective, not a formal or test-taking perspective.
In either of those 3 cases, you could use either "as" or "when". I generally hear "when" used more than "as". "As" sounds a bit more formal. However, I do agree with the official answer given for each question.
In conclusion, on a test, the answers you were given to the questions are right. However, in everyday use, either answer is okay for all three questions :)
For #2, yes, "My camera was stolen as I was sleeping on the beach." would be technically correct (using the progressive). But again, in everyday language, you could also say "when".
For #3, from a technical/more formal perspective, using when sounds like...it's too late? If you did it "when" you approached the station it would be too late to stop. "as it approached" or "as it was approaching" makes more sense. But again, in casual language, either is okay.
For #1, yes, using "when" would not change the meaning. The "correct" answer is "as" because it is "taking" and the breaking occurred in the middle of the action, but really either word is okay in everyday language.
Sorry my answers are not very technical for exam purposes, but I hope it will help you with your colloquial speaking and writing :)
Just remember that English is a very complex and confusing language and there are a lot of rules that native speakers will regularly break as a part of natural speaking and writing :)