If you do miss dialogue, the "Event" tab in your chat log is recording it all so you have a chance to go back and review it. Also I think you can cancel and restart the quest in this situation as long as you haven't spoken to the last person with the green marker, but I've never tried it.

Also you'll need to clear your level 10 lancer quest before you can pick up archery, but yes.

And you will sometimes get those moments where you spend half the fight dead on the floor but the other NPCs or players kill it. Just accept the game has no idea what you're doing as long as the fight gets cleared, and go with it.

Pressing L1 while you're holding down R2 for your battle skills is the easiest way to target an enemy.