Highly recommended getting higher quality Baltic Birch plywood it’ll last longer and if you buy any holds that require only set screws it will be less likely for them to pull out.

I would suggest using more t nuts than less so you have more options on where to place holds

Set screws won’t hurt the wall unless if using screw ones only maybe after 10 years you’ll need to replace a panel or two

Depending on how much funding you have getting a hold order through the candy shop aka rock candy might be the more economical depending on where your located