Good luck with your pool! Most of your questions are issues of preference and budget, but I'll offer my opinion FWIW:
Coping/Tile - I would go with the flagstone all around if the spa and wall will have it. If you are looking at blue-gray tile, consider slate. Some are priced pretty comparably to tile. Real stone looks better to me.
Cascade - I would not sweat it since you will have a spill over from the raised spa. You could add 3 or 4 small scuppers or spitters on the wall instead. Might be a little less expensive since you would not be moving as much water as a sheer.
Retaining wall - breaking it up sounds good but I would not worry too much since it's only 18" tall. I would think differently if it was 3'.