1) I THINK that's covered (not sure though), but either way definitely change at least every 30K miles or so, more if you use AC a lot and/or live in a dusty area. Same for the engine air filter.
2) Annual is definitely still covered. I got an oil change at the 1-year mark even though I was only 2800 miles short from the mileage marker. Not only that, but my SA said that BMW's guidelines specify that the service reminder should NOT be reset when oil is changed based on time, so they changed my oil only to change it again 2800 miles later, both covered under Ultimate Service.
3) Power steering is claimed to be lifetime but Mike Miller's Old School Maintenance Guide recommends every 30K. If you run at the track a lot, perhaps even more often because the M3 is known to spew power steering fluid out of the cap area when worked hard. There's even a known "shop rag" mod to catch some of that: wrap a shop rag around the power steering reservoir cap and secure with a rubber band. Doesn't keep the fluid in the reservoir, but keeps the rest of the engine bay cleaner.
4) Don't have that problem myself.
5) Trans fluid on DCT is "lifetime", i.e. the life of your transmission, which when it fails it will probably be from never having had its fluid changed.
(I'm kidding here...partially.)
6) Diff oil is supposed to be changed at every third oil change. That's in the Service and Warranty Information booklet, of which I have a PDF.
7) These batteries are definitely pricey, but $140 for programming is a joke. Battery registration DOES need to be done if you want the new battery to perform properly and not fail prematurely, but that takes about 30 seconds. There's a DIY on the forums.
8) Coolant is also "lifetime". BMW won't cover it, but I'll be changing it every other year per Mike Miller's recommendations. But the gauge you're referring to is oil temp, not coolant temp. They're correlated, of course, but not the same. But a hair past 210 is a completely normal operating temp for these cars.