Most people go the the order that gives the first skill that can be earned on the first day.
i think its just they all have diff skills.
yes if u leave ur first order u wait 24 hrs till u can join another one, then if u leave that one u have to wait a week to join another one, also yes u can keep the skills.
When you do divine quest or weekly quest u get prestige and infulence u trade these in for morai items like skills,gear,weps,etc
anything else? hope this helped.