Mate, that was like four questions, not one. ;D
In my opinion, you need to plug those holes somehow, obviously masking them would be a huge chore but I really think you need to address them or the paint will indeed affect the final outcome. If the LED's are installed before painting, and you don't address them, the paint will indeed cover the holes/LED's for sure
I always paint stuff as close to fully assembled as possible to avoid accidents like glue attacking the paint or seams that will show after assembly. I would suggest trying to get it assembled and complete before spraying but that's really up to you.
Best of luck, it's looking good.
*really enjoyed your video BTW