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2. To my knowledge the only ways to hose the game involve starting both the Rune and Arcane quests at the same time, especially in Riki's scenario. Having the gift for Rune or Arcane magic is not necessary for Riki, so you can just ignore them. Despite that I would play Riki's quest as my third or fourth character if I were a beginner.
Another way to hose yourself is to save on the Black Ray during Red's quest, which is beyond the point of no return. Just keep multiple saves and switch slots every 3 hours and you should be fine.
3. It doesn't matter if you grind your stats (you grind individual stats, not levels), but only Humans can increase all their stats by grinding. Mystics can grind some of their stats, but otherwise get stronger by KO-ing tougher enemies into their mystic weapons. Mecs increase their stats (and indirectly their skill slots) by equipping better gear. Monsters increase their stats in an indirect and convoluted manner by absorbing more skills, which increases their base HP by 4 per new skill learned, and with higher base HP and the correct skills in the right order they can unlock better monster forms with better stats and hidden equipment.
The only reason you would suffer from grinding is if you increase your battle rank too fast, which could be a problem if you don't have good gear and defensive skills, you're stuck in a hard to escape area, or you missed out on some rare monster skills or monster item drops.
4. They're pretty open, but the amount of content is paltry after the 4th quest or so.
It's best to start with someone like Red or Emelia if you want more structure, or Blue if you want more freedom. Save Riki and Asellus for later. T260 is a decent start too. Lute has no structure.