Yes the WIi is region locked. Games bought in Europe will only work on a European Wii.
I'm not sure if buying a VC game from Europe would work on a NA console. My guess would be no. (NTSC vs PAL would be my guess as the issue)
Yep. You can play with your friends in France any Wii game you want. No VC games are online multiplayer (yet?) though. So that aspect of your question is no.
Nope. The games you purchase on your European Wii will only work on that particualar Wii. You can not transfer the VC games form one console you own to another.