They don't have exactly the same meaning, which is why we sometimes use them together. Various means a variety, it could be different types of the same thing (e.g. various types of cheese) or different types of things altogether. Different means not the same. (using the example above, swiss cheese is different to cheddar cheese) .
Pretty and beautiful are very similar. Beautiful is a lot stronger term than pretty. If you have seen these two words together i.e. "pretty beautiful" , the meaning of the word pretty then is emphasising the word beautiful. We wouldn't necessarily use that term commonly though.
Sad and alone don't have the same meaning - alone means to be on one's own. It isn't necessarily sad to be on your own. Sad means unhappy, it can also mean pathetic or pitiful.