Issue 4 of the things I was missing was connecting to my network share to access my music. With some help from Mark via the comments, it is now working! The solution was a little trickier than I'd hope for. The basic idea is to mount the SMB share into the file system so apps can "see" it. I was trying this by using the shell's Places-->Connect to Server menu but this results in something like smb://server/share and apps don't seem to like this. So the solution:

1. from a terminal, type mount.smbfs //192.168.0.1/share /home/paul/shareName
2. Get an error that mount.smbfs isn't installed. Copy the apt-get command and install it.
3. Figure out that you really need mount.smbfs //192.168.0.1/share /home/paul/shareName -o username:paul password:yourPassword

That's it! At this point I have Banshee playing my music. Next up will be testing a few music players to see if they can reliably synch with my iPod. That will remove Issue 0. Thanks for the help Mark! This does bring up an idea for the Ubuntu guys: could you modify the Places-->Connect to Server process so this could all be done via the UI? In other words when you offer to connect to a Windows Share which is one of the choices, offer to mount the share somewhere in the filesystem so applications will just work. Update: just noticed this resolves Issue 2 as well -- thumbnails work just fine once you mount the SMB share into the file system. Very cool, almost there! As noted in the comments I need to figure out why my sound card isn't working and then also write a script to mount the SMB share at login time.