1) Bagon evolves into Shelgon and then into Salamence... did you mean Beldum? That's Metagross' first form. And yes, the EVs will be distributed even when it evolves, don't worry!
2) Yes, you'll get double EVs from Exp. Share even if the infected Pokemon didn't battle.
3) Starting generation IV, Pokemon hatch from eggs at level 1. So yup, it's possible.
4) Salamence's (Bagon's final evolved form) best stats are attack and special attack while Metagross' best stats are attack and defense, so you can make sure it doesn't have a nature that hinders one of those stats. Honestly, either way it's perfectly fine if you're not planning on WiFi battling (which can't be done until gen IV anyway). It pretty much makes no difference in the actual game. You can see Salamence's stat bars here (click) and Metagross' stat bars here (click).
EDIT: It really depends on what moves you plan to teach your Pokemon, though. For example, Metagross learns mainly Psychic moves which are all special attack-based in Gen III and Steel moves, which are all attack-based. So if you plan to have a more attacking rather than defensive Metagross, you can make sure it has a nature that ups its attack or special attack. Opposite for defensive.