Starting with the last Q first.. While most seems to prefer Mach3/Windows either will suffice... I use both.

Making a machine to end all machines is an 'interesting' goal. It will be difficult (but not impossible if you throw enough money at it) to meet the conflicting demands of machining PCBs and small metal parts (high acceleration, short throws, high accuracy to .01mm or better) with that of large wooden items (large size, higher speeds, but relatively low accuracy 0.1mm). You'd be better off with 2 machines, a CNC router for the wood and a small CNC mill for the other parts. The cost of two machines may be less than the cost of building one 'super' machine. Drive electronics could be shared if you only run one at a time, at least to start with.

As to a lathe... if you need a metalworking lathe buy one. A 4th and 5th axis are less useful unless you have specific projects in mind and adding a 4th axis to a router isnt so difficult, but its not a lathe in the conventional sense. A 5th axis needs a whole different way of looking at the machine as achieving sufficient rigidity, even on a small scale, is very hard to do.

Personally I've always though the idea of building a small 'sacrificial' starter machine to learn on isn't a bad idea of a waste of money, since it can be used to make parts for the larger one.