1) Yes.
2) Yes, you can chain them.
3) Yes, hit D to see if a depot is wagon-accessible. Wagons need 3 tiles wide passage from the map border to the trade depot. They can cross ramps, but not stairs. If your depot is not wagon-accessible, only the walking traders will come to trade (which means less goods to trade).
4) Yes, they do. You can give them backpacks and set their squad orders to carry water and food.
5) Yes, it does. Check the wiki for details. Basically, Iron is the standard metal, steel and obsidian is 1.5 times as good, adamantine 5x, and everything else is worse.
6) No idea. Give them a quiver so they can carry more bolts.
7) Not that I know of.

I guess so. Vermin can, so fish/turtles probably can, too.
9) A road is only there to prevent trees from growing in it's path. Wagons don't need roads.