1) I don't think so (at least not in the way you're describing) because I think FPSC/X10 was intended to make more or less linear FPS games like Half-life and such...I'm sure there are work-arounds though
2,3) I don't think so but I could be wrong. I think there's an update planned for the weapons part. However, for the keys, you can always make it so when the next level starts, the start marker is directly on top of the key entity..so in a way, you'd have the key from the previous level...
4) Ah, the problem that plagues so many users . For textures, follow Nomad Soul's texturing guide (Texture Tutorial)
http://forum.thegamecreators.com/?m=forum_view&t=136659&b=33
For models, make your models and then export into the .x format and then place directly in the meshbank folder. Then, when you make the .fps or .fpe, put that directory as the location of the mesh you want to use.
Hope that answers your questions and welcome to the forums!
A picture says a thousand words.
-- H.K. --
http://www.fpscx10-online.com/