1. Already answered above
2. No, if it's built into ZSP then you can't select stuff a la carte in the US from a package
3. I'm sure custom colors are available and I'm sure you'd have good taste (I saw an Estroil Blue M3 before). I think it's possible but you'd really have to persuade the dealership and BMW NA. And its like $2600 or somethin.

4. "Better" is such a subjective term. Nappa is more fine-grain like the one you'd find on //M cars or Lexus cars. I like the rougher grain because I think it's a bit more resistant to wear. Whether you like fine grain or a slight "pebble" feel is up to you.