Welcome to GW enjoy your stay!
1.) I'm at lvl 5 and I'm still running little delivery quests. I really enjoyed the first mission (the one where you sink the ships), even though it was easy, and I was hoping more of the game would be in mission form like that.
Missions are throughout the game and advance the story line. They will progressively get more difficult. If a mission seems to difficult to complete see
www.Guildwiki.com or come here for questions. Both are your friends (Notice they both contain spoilers to the game!)
2.) As I already mentioned, I'm already lvl 5 and, as I understand, the top lvl is 20. Seems like it might be a short game if things continue to progress at this pace. Any insight on that front?
Level 20 is the max level you can make, but it is by no means the end of progression. You can collect skills, treasure, wisdom, change secondary classes, explore the map, get drunk ETC… all sorts of things. Forgot to mention special weekend events. So much to do and so little time. Monsters get harder as you go, so you may find them easy now they get a little harder
3.) Is there any downside to using heroes and henchmen? Less xp/loot or anything?
A. The more people in you party including other Human players / henchmen / hero’s the less likely to get a loot drop assigned to you. You do not see loot drops when they drop for henchmen or hero’s, so you think that they drop less when infact they are still being calculated. (If this weekends event for Double Dye interests you go out exploring alone, and kill as many low level critters as you can find. Cross your fingers and hope for a black or white dye.)
B. Experience earned is calculated by your level and the level of monster and the amount of people in your party
4.) Does the presence of healing heroes and henchmen make support classes like monks and paragons any less in-demand? I always like playing support characters, but not if I can be replaced by a NPC.
Human players are usually smarter with when, what, where, and how to use the skills. NPC Henchmen are quicker, but sometimes use wrong skills at the wrong time. If you are a solo play alone type person you want to have a healer at all times in your group. Then you can focus on firepower rather then keeping your Hench team alive. If you play with real people then heal away my friend.
Welcome and good luck