Your comments

shift+tab is working as designed.

There is a setting that can be used, shift_tab_unindent, to force it to work without multiline selections - it's worth reading the comments alongside this setting in the default file settings.
Press Ctrl+P (Command+P on OS X), or choose Find/Goto Anything from the menu
It works, you just have to set it in your user preferences - the default value is overridden by the osx specific default
By default, pressing enter in the find panel will do a find next, and ctrl+enter will insert a newline - could you ctrl key have been stuck down?
Automatically inserted whitespace is removed when you start typing.
FWIW, the reason sequence key bindings aren't displayed in the menu is because Cocoa has no notion of sequential key bindings, and thus NSMenu isn't able to display them. There's a similar issue for GTK on Linux. Sequence key bindings are displayed on Windows, which is more flexible in this area.

I believe it's possible to ditch Cocoa for the menus on OS X, it's something I'm planning on investigating in the future.
On OS X, column selections can be created by:

- With the mouse by holding down alt while dragging
- With the keyboard via Ctrl+Shift+Up/Down
FWIW there is a save_on_focus_lost setting, although it only saves the current file, rather than all files