Not sure I can answer all of your questions fully, but:
URDF supports only tree structure. SDF support graph structure but it is only for simulation.
SDF is not "only for simulation" per se, but it's true that right now it's really only used by Gazebo and nothing else.
Moveit supports only URDF so I think I cant use it for motion planing (except if I close it with maths, witch is difficult)
If you mean: "MoveIt supports only URDF and I can't model my robot in URDF, so ..", then yes, that is basically true. It's not really only URDF that is a problem: there is no support for IK/FK with closed chains in the components that are typically used in ROS (anything using KDL fi), so even if you could model your robot, there are no solvers (easily) available.
I think collada files supports closed loop chain but can I use it on ROS Moveit?
You can use Collada, but it is only used as a format to store robot geometry in (ie: meshes). None of the other features of Collada are supported (directly).
Collada is working well with OpenRave but can it communicate with ROS so I can link it with my robot?
The people over at github.com/personalrobotics have quite a few packages that let you integrate ROS and OpenRAVE. I'm not sure as to which level that integration works, but I seem to remember they at least have packages for loading URDFs, SRDFs, ROS kinematics plugins, various planners used in MoveIt, etc. You might want to look there for some inspiration.
Is there any way to suggest me how I can do motion planing with closed loop chain?
This is not going to be a satisfactory answer, but I think it would depend a bit on whether the closed-loop nature of your robot is really a property that you want to exploit, or if it's something that is there, but is not really used/usable:
if you really need to plan for the closed loop: I'm not sure that is possible right now (see comment above about there not being any solvers available fi). I do remember a potentially relevant discussion on moveit-users on ways to work-around the current limitations -- with MoveIt at least, there are many other frameworks that could probably plan for closed loops. See Planning for dual arm manipulation in object space.
if you have a robot that includes a closed loop to increase its max payload (and connects counterweights using the closed loop), or to reduce weight in the links (so it can place all actuators at the base fi), then you could either use mimic joints to model the parallel structure, or you could ignore it entirely. Most industrial robots fi that include parallel structures implicitly take care of the kinematics, reducing your planning problem to that of a regular serial chain.
A bit of context (slightly off-topic): Collada has also come ... (more)
Can I know how did you model a closed chain in collada (.dae) files?!
urdf not support closed kinematic loops， the closed_loop_plugin can solve the issue that URDF not support Closed loop chains/graph. more details, please refer to：https://github.com/wojiaojiao/pegasus_gazebo_plugins or http://wiki.ros.org/Angel_jj/closed_l...