You ask a lot of questions!
Almost every HRM comes with a little book explaining zones and fitness. Basically, you will burn more fat by percentage if you keep your workouts longer and slightly less intense. You should not be breathing so hard that you can't carry on a conversation. There are also many, many, many, web sites that explain training with a HRM in great detail, so to keep this short, I won't repeat all that info.
GPS on a trainer? There's a good joke or cartoon to go with that!
Some of the wireless cycle computers will work from the rear wheel. I got a cheap $9 Schwinn 'puter that had a long enough cable to run it to the rear wheel.
I like having the seperate watch so I can use my HRM while swimming, running, or wearing to bed to get my resting HR upon waking. Polar makes HRMs and cycle computers, so you could get one of each and use the same chest belt.
See above.
Az