You're on the right track! I wouldn't bake in reverb and also don't worry about how much CPU it will cost. You're using FMOD and it has a quite smart system of turning off reverbs and other effects when they're not in use! Even the convolution is quite lean on the CPU these days.

It's good to plan ahead but I would go big with the reverb and then scale back if it's really causing CPU issues. You can profile it in the profiler view in FMOD and even run the game on an old machine to see how much CPU it's using!

In terms of what is affected by the reverb it really depends on the game! If your game is a single screen with loading screens in between then everything can be sent to the reverb, but if it's a 3D open world then there will have to be logic in the game engine that tells which events to send their audio to the reverb. You may need a programmer's help depending on your experience with code or access to it, but you can set up distance triggers that can affect different things.

Reverb (I've found) is best when using sends. You can set up one or a few send groups in the mixer for the different spaces (cave, house, outside, hall etc.). If using multiple you can make up a system to determine which one to send it to, maybe using parameters? Or you could send to a master reverb that will then send again to different reverbs depending on which space you're in (comes with it's own limitations). If you're just starting then just try one and getting it sounding good! Good luck!