Concrete – Do I need to protect the new basement slab from freezing air temperatures

As long as the concrete and some time after pouring to set up, water won't hurt anything (they make swimming pools out of concrete). Granted, you'll want it all pumped out and dried out before framing, though.

As for the wood, no real damage should come about after 5 week of being exposed to the weather.

You certainly don't want to leave your framing exposed all winter. And if you are using chip board for subfloors or sheathing, you want to avoid having that exposed at all (unless they are rated for exposure). But for the most part, most houses are exposed to the elements for a few weeks. It's fine as long as things are given a chance to fully dry out before they close it all up.

The best systems have a return in every room that has a supply register, but a lot of systems work just fine with only a central return (usually located right at the furnace). To achieve the highest efficiency, you're going to have to do a heat load calculation, however it sounds like it's working fine.

A good system will have balancing dampers placed throughout the duct work, but you can also balance the system by e.g., half closing all of the registers upstairs, to force more air into the basement.