1, only need lower the last link, since it's an updated version.
2, yes they're integrated, you just need that one file.
3, Unofficial Patch isn't theirs, but they've built CE on patched version of the game, patch version is 8.5+.
On page where download links are posted it says that you need either prepatched 1.2 version of the game (if Steam, which you have) or unpatched version of the game (if not Steam).
This is the exact link: "Remember: No patches/mods except for the official 1.2, if it's part of your original game (Steam, international DVD version...) And no old save files, or you risk problems."
So you'll have to reinstall the game fresh.
As far as your save games go...
Steam usually stores them either in My Documents/My Games, C:/Users/YourName/Documents/My Games
or in Program Files/Steam or Program Files(x86)/Steam/steamapps/common
you're usually best off just using search option on your windows and typing game's name... anyway as far as VTMB goes,
/Program Files (x86)/Steam/SteamApps/common/Vampire The Masquerade - Bloodlines/Vampire/SAVE/
4, Install instructions on download page, last post, says:
"I made an update for CEfinal that is compatible with the mod loader from the latest patch. Just that and a few bugfixes. And this time it's no installer, just a zip archive.
If you have the latest patch with mod loader installed, just copy the "cefinal" folder from the archive into your bloodlines main directory and create a shortcut.
If you don't, install the base game, copy the whole content of the archive in, and create a shortcut.
If you use the custom music feature, the /clubmusic folder is moved into /cefinal."