Let me see if I can go through each of the issues (let me know if I miss anything)
Splash screen
As far as the splash screen, wineskin has had an open issue for this very feature for a LONG time, but it isn't considered very high priority. I could attempt to code it in myself, but that is a lot of trouble (and potentially a lot of unexpected side-effects) for very little gain. I'll look into some way I might be able to cheat on it instead.
alt vs cmd
I observed this as well. Strangely, even enabling the option to have wine treat option as alt still saw the game responding to cmd instead. Curious.
cmd-c
Actually, using my current settings,this seemed to work just fine for me (see window minimization/focus loss below for what these settings are); it unequipped the item in my C slot. Which is what alt-letter is supposed to do, right?
window minimization/focus loss
I have yet to observe this, though I've been running it in full screen almost exclusively, and have most recently been testing it with the "Use Mac Driver instead of X11" option on under "Screen Options". The only thing this has won me so far is that the mouse cursor is no longer visible with keyboard mode on (as it should be). While this used to be experimental, it is now the default driver for Wine, so it should be stable. Wineskin seems to opt for X11 by default. I'll confirm this. In any case, maybe try enabling this instead.
game data stored within .app
As, Kyzrati mentioned, the data is stored within the game directory on Windows. Having said that, wineskin sets up mappings for Desktop, My Documents, My Pictures, My Videos and My Music by default, so if he some day decided to move them to a folder in My Documents, it should "just worktm"