Yes, $(2)$ is easy once you notice that $a_{n+1}b_{n+1}=a_nb_n$, so the product (and hence also the geometric mean) is invariant. As it is well-know that it is between the harmonic and arithmetic mena, the limit of our nested intervals must equal $\sqrt{ab}$.
A similar approach works for $(1)$: Show that $I(a,b)=I(\sqrt{ab},\frac{a+b}2)$. Indeed, $$ I\left(\sqrt{ab},\frac{a+b}2\right)=\int_0^{\frac\pi2}\frac{\mathrm dx}{\sqrt{ab\sin^2x+\frac14(a^2+2ab+b^2)\cos^2x}}$$ can be nicely attacked by trigonometirc identities (and - like the geometric mean above - we have that a simple expression in $I(a,b)$ is between $a$ and $b$).