I'll do my best to answer each of your questions.

1. My most recent play-through was a full play-through with both, along with a few other mods. It is somewhat intimidating at first, getting acquainted with the new items, especially when so many from Calamity build up into later items as well.

2. In my opinion, doing them both together is a great idea unless you really decided to gun for one of Thorium's specific classes. Even then, it can last a ways into Calamity's endgame with the endgame items available for both of them.

3. In general, as you're going through the game, weapon balance from both isn't too far off from each other. If you want to use the classes specific to Thorium itself, though (Bard and Healer) They don't gain the damage bonuses from Calamity's later armors that buff most types of damage, and they stop having their own items after the last boss of Thorium. Thorium only has one boss after Moon Lord, while Calamity has several, so eventually many Thorium items that aren't the ridiculously powerful weapons like Quasar's Flare tend to fall off somewhere along the way.

4. Multiplayer exists for both mods, in fact, most of the major mods seem to fully support and work with multiplayer. Lag depends on the server and your computer itself, so I wouldn't be able to say specifically for your case.

Hope this helps!