So basically to do that you need the Squid webproxy, Squidguard web filter and ClamAV anti virus packages. To get all those running is probably going to take some tweaking and reading of various how-tos.
If you are ad-blocking at the firewall it may well cause tracking problems, usually that's a good thing! I find it far easier to run adblocking locally in the browser. That way I can easily whitelist sites that I don't mind the advertising on (like this one!) or disable it when I get to some site that doesn't work at all because some thing is blocked. Increasingly Ebay works less and less with stuff blocked unless you carefully train the filters.
There is little point in having a huge cache in Squid especially for a relatively slow home connection, you won't see much increase in speed. It would be better to give a large RAM cache, which will be much faster.
Caching Windows updates can indeed be a problem. They use a CDN so the update files may not come from the same location making it difficult for Squid to know they are the same file. There are various threads and docs on that.
Yes that's exactly how VPNs work. Though you could configure some stuff to connect directly.
You may have some issues with an 8111F. I can't remember quite what the current support is but I believe it wasn't supported by 2.0.3. :-\ Hmm, have to check that. If it is supported you should see any loss at 30Mbps.
If you use a wireless router as an access point you usually have to use one of the LAN port the connect to it leaving only three but, yes, those are then usable as a LAN switch. Some firmwares allow you to add the WAN port to the LAN switch getting around that problem.
Steve