1. The wall cube? - you should really try and keep your walls as thin as possible, thinner than that cube. If you make your wall too thick you won't be able to cut windows and doors into it. If you wanted a really thick and detailed wall segment, you should design it so you have a thin piece as well for doors etc, or just avoid using doors and windows on the thick bits altogether.
2. It probably won't matter, but I'd have it all as a single mesh - the only time I'd use more than 1 mesh is if I was using more than 1 texture on it (like maybe adding a switch control right onto a wall mesh rather than adding later).
3. It really depends on the project. For example, doom3
Say you were going for a doom3 style game, everything high detail, everything light mapped, and maybe even a normalmap shader as well. With that environment, the strain is quite big on performance - however, if you look at it from a different angle, you could say that your draw distance is much shorter in a game like that so the polygons that you spend, you save with the reduced draw distance. It's not something that people will learn right off, game modelling is a very different sport to general 3D modelling, but with practice you'll soon see how things shape up and will get into good game modeller habits.
Effects are a factor too, like windows with glass effects and walls with shaders will impact the performance, so really it's gonna be down to game style again - if you want a lot of enemies, low detail and not too many fancy effects are required - if you want a lot of detail and effects, then less enemies should star in your game.
4. I'm a little foggy on how the shaders work, I think it's a case of having a normalmap texture (looks like a colourful embossed version of your texture), then FPSC can be told through scripts which effect texture to use on each mesh. Shaders are optional though, if you wanted to make a low and high detail version of your game for lower spec PC's, then that's no headache at all (all the options are actually on the game builder tool).
Van-B
It's c**p being the only coder in the village.
