Genreation I - III
Thunder Wave is unaffected by Volt Absorb. Others are affected.
Generation IV
Thunder Wave now can't affect Pokémon with Volt Absorb or Motor Drive. Lightningrod is affected.
Generation V
Thunder Wave now cannot affect a target with Lightningrod.
Source: Bulbapedia's page on Thunder Wave
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So in Gen V, Thunder Wave has no effect on Pokemon with those Abilities.
To answer the second part of your Q, all Electric type moves recover 1⁄4 of its maximum HP when hit by an Electric-type move.