if you use one of those powerful floor sanders, be sure to use fine grit paper and go easy. Plywood can damage easily and those sanders are aggressive and designed for hardwood. A good 6 or 7 inch DA sander would be a good bet, especially around the edges. Be careful, don't tear up the plywood with a monster sander!!! lol.
As far as paint, select a good grade floor enamel. Roll it on with a short nap roller. A moehair or 1/4" nap is perfect for leaving a good smooth finish without a lot of orange peel effect.
There are (at least) two different types of stains for concrete. One is a surface coating, the other is acid etching.
The former can work, but isn't as durable/lasting. I believe most of the products you get at the big-box stores are more of a top-coat type of stain.
Acid etching is just that, it's a stain containing an acid that actually etches the concrete. This is the typical type of stain you see in home magazines and such. The etching provides a deeper stain that is more durable and not prone to flaking.
I've done the latter, and applying it is super-easy. It's the prep work that can be a chore--namely if you have adhesive on the concrete already. In our case, we has tile mastic, which we had to dissolve using soybean based stripper. It worked great but was incredibly messy.
If you don't have glue to deal with, however, you should be good to go. Order up the stain (lots of places online to get it). You then dilute it per instructions and spray it on the concrete. I used a garden sprayer for this. You then let it sit for a period of time, and then you apply a neutralizer to stop the reaction.
After that, you apply water and mop/squeegee/wet-vac it up.
Then, you apply a sealer of some sorts. Common options are wax-based, polyurethane, and epoxy. I went with poly as it was relatively easy to apply (roll it on). That said, I don't think it was ever truly waterproof. For your needs, you may want to go the epoxy route.
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That almost looks like a sprayed on primer and not "real" paint. Your best bet would be to get a small can of primer and roll it on the wall, feathering it in to the surrounding area. Good luck.