Every footprint can include so called 3d settings. Part of the 3d settings is a path to a 3d model (it can even be multiple 3d models)
The path can include path variables. (The official library uses KISYS3DMOD as its base path variable)
The kind of equivalent would be the footprint field of a symbol. (But instead of using library aliases plus footprint name it uses file system paths)
Step is THE standard for (lossless) exchanging 3d data. It is supported by all major mechanical CAD tools.
WRL (or VRML) is a different standard for exchanging 3d data. This one aproximates the model using a number of small triangles. It has the benefit of being supported by a wide variety of 3d programs focosing on the artistic side of things.
So if you want to make nice renders of your pcb you would use wrl. If you want to send the 3d model of your pcb to a mechanical engineer that will make a housing for it you would use step.
Kicad is not intended as a 3d modeller. There are better tools for that.
The best way is to use a mechanical CAD program. The official library is mainly created using the open source tool FreeCAD. There is a nice addon available for freecad that makes interchanging data between it an kicad easy. (The tool is called kicad-stepup. For a demstration of its capabilities search the forum for it. One good example can be found here: Kicad StepUp: The Sketcher for Getting to Blinky)
Not necessarily. However the official library uses this as a guideline to make it easier to maintain. (Ever footprint in the official library is setup to expect a 3d model with the same name as the footprint. There are a few exceptions. For example the ThermalVia variant can use the same 3d model as the non thermal via variant)
The 3d model downloader is a relict of the past. I am not even sure it points to the current version of the 3d model library. I suggest downloading the libraries directly from the kicad website
Any git client will do. But you can easily download the libraries as a zip archive and use that (you would need to extract the files from it. A “unzip tool” should be included in every modern operating system.)
If i missed to answer one of the questions or you want to get more details feel free to ask