Hi Martin,

Your parts list so far looks great. Should get a nice DIY machine from that list.

Building your own linear power supply is not to difficult, but you need to decide if you are OK with mains power projects. Here is Joe's video:
https://www.youtube.com/watch?v=4OoQQg76ar4

The other option is to buy a SMPS style power supply but when I last looked these were expensive and / or not so powerful, and like all SMPS will not soak up any back EMF from the steppers. Linear supplies will and this is often quoted as an advantage.

You can direct drive via coupling or belt drive, both will work. Belt drive is popular because you can tuck the motor out of the way instead of sticking out, and you can add ratios to switch the speed/torque if required. It can add a minor bit of smoothing to the torque delivery but I don't know if that is such a big issue these days with digital drives and resonance control. Some people have been concerned over belt stretch and accuracy but my own experience and many others on here is that for DIY machines it is no issue. On the subject of belts HTD5 profile is popular in 15 mm width. I wouldn't go with t5 style pulleys, HTD tooth profile is designed for high torque. Belt drive is my preferred method on the main axes.