*while trying to be as humble as possible* LOOK NO FURTHER!!!! Ahem, sorry about that. ^^;
Anyway, relax, I got just as confused as you were when everything got thrown at me like that (of course, maybe I still am...), but I'd like to believe that I've gotten a good grip on things on this...though as a fair warning, I've only played through the story once, but I did watch everything twice, so I've had enough time to think things through. So...
1. True, both Ansem and Xemnas appeared to follow their own goals after they began their parts of Xehanort's plan. However, since Xehanort seems to have a thing for back-up plans, it wouldn't be entirely out of the question to think that both were trying alternative ways to follow the same goal. While Master Xehanort was a cunning tactician, Xehanort (Terr-Xehanort)was also a scientist and a researcher, so his curious and scientific nature may have lead each of his counterparts to try and "experiment" with other alternate methods to reach Kingdom Hearts. If we focus on Ansem, we know that he guided Maleficent to find and capture the Seven Princesses of Heart, so that Xehanort would be able to target them with his 13 Seekers of Darkness to either draw out the 7 Guardians of Light or destroy all of the Princesses as they are the sole source of light within the Realm of Light. So, seeing as how the princesses were located and sleighted to be destroyed anyway.Ansem realized that no harm could come to their plans if he destroyed at least one of the princesses. With the same thought in mind, Xehanort's ultimate goal is to flood the Realm of Light with Darkness so that from the ashes he would be able to reorganize the world in a nature more to his liking, though it still could be possible that Ansem began to steer towards his own agenda, as he knew that even if he failed, he would be recruited by Young Xehanort, so his demise would only be temporary. Later on, his plans to retake Riku as a vessel in CoM may have been both to regain his full powers or, more likely, to gain fill another seat for Xehanort's True Organization XIII. Now, as for Xemnas, he was tasked with forming an organization of thirteen powerful Nobodies to act as vessels for a piece of Xehanort's heart. To do so, Kingdom Hearts would have to be amassed so that all of the members would be connected by Xehanort's heart. So, by lying to all of the Nobodies by saying that they didn't have hearts, when in fact they may have been able to form new ones anyway, he was able to discourage them from disobeying him and motivate them to follow their apparent goal of completing Kingdom Hearts and regaining the hearts that they "lacked", though unknown to them, the only hearts they would have gained would be fragments of Xehanort's. However, just as Xehanort and Xemnas predicted, not all of the original candidates were worthy, most being too weak, others being too treacherous, and some just didn't make it. Though at the point of the Castle Oblivion incident, Xemnas knew that his current plan wouldn't be able to further Xehanort's goals, like Ansem, he was aware of Young Xehanort's plan to travel through time to gather the suitable 13 vessels for Master Xehanort. So, with a flawless back-up plan already in place, Xemnas was free to try and keep up appearances with the Organization's "plan", while delving into his own agendas, both to merge with Kingdom Hearts as a god-like being to shape the world in his own image, much like Ansem was deciding to do, and to also regain his missing memories as Terra, his results undoubtedly hindered by Xehanort's stronger ambitions and desires. So although he wouldn't be able to merge with 12 other vessels like he had originally planned, Xemnas still figured that the power he would gain through his Kingdom Hearts would be enough to reorganize the worlds, destroy Sora and Riku, or at very least, test them. More importantly, like Ansem, Xemnas knew that even if he was defeated, his death would be a temporary one. So yeah, both Ansem and Xemnas's final plans didn't directly have anything to do with forging the True X-Blade, they did further things along in the end, and they both knew that they could never truly fail.
2. The X-Blade was shattered into 7 Lights and 13 Darknesses, and after the destruction and reconstruction of the worlds, all the light in the worlds were separated into Seven Pure Lights, the Princesses of Heart. The 7 Lights were formed to protect the respective Seven Princesses from the 13 Darkesses who sought to destroy them so that the worlds would fall to darkness. Thus, they are known as the 7 GUARDIANS of Light and the 13 SEEKERS of Darkness. So, although using his 13 Darknesses to destroy the Seven PURE Lights would engulf the worlds in darkness as he plans, Xehanort ultimately plans to form the X-Blade from the 20 Keybearers it separated into, thus creating another Keyblade War, creating the one true Kingdom Hearts, covering the worlds in darkness "properly" (thus eliminating the Seven Princesses), and reorganizing the world in his vision. With that in mind, he needs his 13 Seekers to clash with the 7 Guardians, as destroying the Seven Princesses will not create the X-Blade.
3. It's hard to say whether or not Mickey knew what became of Terra before 3D. It's worth noting, however, that at the end of Re:Coded, Mickey told Yen Sid that he knew of the locations of both Ventus and Aqua (though how he came to know of Aqua's fate was never fully explained), leaving Terra to be the only one who's whereabouts were unknown. So, it's safe to say that he didn't know, considering how he was never aware of Xehnort's plan to gain a new vessel, as he was more involved with Ven, Aqua, and the original plan to create the X-Blade through Ventus and Vanitas. This makes the fact that the portal to the Keyblade Graveyard, location of Terra's Lingering Will, appearing in Disney Castle even more of a coincidence, if not an ironic occurrence. What makes me more curious was who Mickey was about to say about the seventh keybearer's true identity. Could he have known about Kairi, or was he perhaps thinking about Roxas, even if he never really met him?
4. This one is a bit of a toughie. Supposedly, Sora and Riku were supposed to return to Yen Sid's Mysterious Tower in the Real World after successfully unlocking all seven Keyholes of Sleep. However, as the test was rigged by Xehanort, both Sora and Riku were prevented from properly returning to whence they came, instead ending up in the real World That Never Was (which apparently wasn't destroyed from the aftermath of Kingdom Hearts 2). After Sora's talk with Xigbar (I guess Braig never got created since his Nobody was recruited before he was ever destroyed) he was forced into a deep sleep, being plagued by Organization XIII's inescapable nightmare. So, since Sora is thrown into sleep, he is forced into a Nightmare version of The World That Never Was set up by the Organization (though Xigbar claims to have had no part in what Sora saw in the nightmare). Simultaneously, since Riku had unknowingly entered Sora's dreams from the beginning of the Exam (becoming a Spirit Dream Eater in the process), Riku wound up in a dream version of The World That Never Was parallel to the nightmare Sora was in, only one filled with illusions to confuse and trap Riku, though Organization XIII possibly set this up to slow Riku down or prevent him from awakening Sora. Eventually, Riku found Sora (or at least a physical representation of Sora) within the dream version of the Castle That Never Was, trying desperately to wake him up. This only seemed to stir the Nightmare that held Sora, causing it to take physical form as the Anti Black Coat Nightmare, the Black Coat possibly being related to Sora's nightmare as it was set in place by Organization XIII and most of the people Sora encountered in there wore a black coat and the Red Eyes could arguably be related to Vanitas's face prior to Ven's connection with Sora, though it's more likely because it was the signature trait of all Nightmares. Once Riku defeated the Anti Black Coat, the "nightmare" part of Sora's nightmare began to come to a close with meeting Terra and Aqua and having a flashback to when Sora first met Aqua, thus "waking up", yet still being trapped in the nightmare World That Never Was. Sora's "body" was also warped elsewhere away from Riku so that he couldn't interfere any further, though Riku could still catch glimpses of Sora's nightmare. At this point, Ansem confronted Riku within the Darkness, keeping him at bay while also trying in a last-ditch effort to lure Riku into the darkness so that the Organization could use him as originally intended. Meanwhile, Xemnas fought Sora within his nightmare, wearing him out enough so that the unchecked darkness in his heart would drag him into the deepest state of slumber from which he would never be able to escape from. Ventus's armor did manage to protect him from falling into darkness completely, but the darkness from Sora's lingering Nightmare ultimately corrupted the very armor the protected Sora. After Riku finally defeated Ansem from within the deepest darkness of the two-fold nightmare, he was transported to the real World That Never Was, though he still held his Dream Eater powers, as well as the ability to summon Dream Eaters. All the events that happened afterwords took place in the actual castle within the actual world, so this is the only apparent moment where both Sora and Riku are both in the real world, though according to Young Xehanort, Sora may have stayed into the "real world" when he entered The Grid, and Xigbar claims that Sora and Riku were sent back in time for the beginning of the exam into the night Destiny Islands fell to darkness. The possible explanations for both of these statements could be that though the world The Grid originated from ("The Real World") was destroyed, the system of The Grid still survived within the physical plane as it is made up of data and can only be destroyed through deletion, while the dream version of Destiny Islands had to be formed by Sora and Riku being sent back in time, as the Real Destiny Islands have already been fully freed from darkness thanks to their actions in Kingdom Hearts. Since Dream and Time Travel have both been introduced in this game, it is not highly likely that they are the means for these two anomalies.