Answering a few questions:
"Set-up, do I select one of the nations and then get everything listed for them? Also, what are the deployment zones?"
Yeah. Keep it historically accurate. Deployment Zones should be up to 6'' from your table edge.
"The Activation Role, does this mean that if I roll, say 3, I get three activation points, letting me activate one and a half units but if I roll 4 with Japan I get 24 activation points? That seems incredibly random and swingy so I think I've misread it."
You're getting it incredibly wrong. If you roll 3, you may activate 3 units, and these units may spend 2 actions. If you roll 2 and 2 (but not 1 and 3), you get to activate all units, and they may spend 2 actions.
"In the actions, are Change Weapons and Set-Up each only relevant to a single model in the whole game? Also, which weapon does the Japanese Machine Gunner start the game armed with?"
The Japanese Machine Gunner begins with an LMG. The Japanese Mortarman and the German MG both need to set up. You have to switch weapons every time you wanna throw a grenade.
"What does reloading do?"
After you fire, you must reload. You cannot fire again until you reload.
"Is the 6 of shock the same as 1 of wound?"
Yes.
"Does the shock rally rule out a second action, or just mean that other actions cannot be performed until a rally is made?"
The latter.
"If a unit hits the table edge when moving from shock, what happens to them?"
They're removed from the game.
"You say that models have to stop when they hit difficult terrain, can models then not change direction? Are they forced to move in straight lines? Can they move through difficult terrain? If they can change direction and not move through it, why would they ever 'hit' it?"
The important thing here is that you ignore the difficult terrain you are starting on. The primary reason you'd want to go through it is that it might offer cover (a stone wall, woods, etc). You can choose to skirt around it, that's perfectly valid.
"With the weapons, LMG reads, Rifles within 3" roll +2 wound dice when beyond 6". Does this mean when the target is beyond 6"?"
Yes.
"What does being in one "team" or another do for troops?"
Units may only rally when with 3'' of a team leader or 6'' of a squad leader. Can't believe I forgot that.
"When shooting, is both shock and wound rolled?"
Yes.
"The objectives are a bit vague, delay for reinforcements. How long do I have to wait for them?"
You get none. Roll 2d6; if you hold out until the turn is equal to the result, you win.
"Destroy Central terrain piece, how do I damage terrain?"
Do Explosive damage towards it by acquiring hits, so you have to roll for 1s and 6s on Wounfd Dice, and count each one as a hit. You have to get 5 hits.