1. You need a fuse rated at less than the max current your wire can handle. As far as type of fuse, it's up to you.
2. No. The fuse on the wire is to protect the wire.
3. Either should be fine for a system powered by an M2ATX. Most recommend thicker power wire (lower AWG) to insure that the wire's resistance won't be an issue.
4. Yes. Another option is a distribution block, where you have one larger power line coming into a block that allows connection of multiple, smaller power wires. Some have built in fusing capabilities for the smaller power lines, but you still need a fuse for the larger power line at the battery.