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I can only answer a few of your questions; hopefully others will be able to take care of the rest.
Notes: Yes, it's possible to write up a document with the keyboard, but not convenient. You'd basically have to do it as an annotation to a book or text file already loaded on your Kindle. But your notes are automatically exported to the MyClippings.txt file on your Kindle, which you can copy to your computer as needed.
Epub/RTF: You would have to convert. The Kindle supports neither of them, although ePub can be converted with Amazon's free KindleGen and now Kindle Previewer tools.
Status Bar: Yes. I have a K2, but I've read that on the K3, the top status bar, which displays the book's title and the wireless strength (and optionally, the time) auto-hides once you start clicking the buttons to read, but you can get it to display again by clicking the Menu button. The bottom bar stays, and shows your percentage read/numerical "location" in the book, and with some books, little chapter navigation marks that you can use the 5-way controller to flick back and forth between.
Bookshelf display: It's a simple text list which reads:
Book Title May Be Cut Off By Ellipses If Very Long... Author Name
....... <- line of dots indicating how far you've read into the book
Next Book Title... Author Name
....... <- line of dots indicating how far you've read into the book
You can arrange your books into "Collections", which are really more like tags, but act as virtual folders to filter your books by whatever organization you choose. The way you describe your current setup is pretty much how the Kindle handles things once you've got the Collections set up. One drawback is that there's currently no way to do nested collections, so everything is top-level.
Hope this helps!
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