The spare threaded hole on the turbo is indeed for water cooling. As standard, water should be fed to the turbo from a take-off pipe on the thermostat housing into the side of the turbo closest to the engine, and return out of the turbo directly back to the header tank via the smallish bore hose that on your car is already connected to something.

Running without water cooling will not cause your turbo any problems, so you can leave it as it is if you don't want the hassle of sourcing the correct metal water pipes/banjo bolts/etc.

If the oil filter mounts directly onto the block (via the modine oil/water cooler) without an alloy arm that relocates the filter to behind the engine mount, then you need a standard 2wd oil filter. If you do have the alloy arm, then you need a 4x4 oil filter. Get one direct from your local Ford dealer, or try ebay.

The breather can will have 4 inlets/outlets. The top 2 inlets will connect to either side of the block. There will be a return pipe to feed excess oil back to the sump, and the final outlet will be to relieve combustion gases blown past the piston rings and probably not connect to anything.

If the turbo has been freshly rebuilt, don't worry about a minor oil leak from this area, it may well seal with use. If the bolts can be tightened, do so.