Will all cages in a jail be used

To train exotic animals you need a dungeon master. Once you have a Dungeon Master you can tame exotic animals. Once the animal is tame you can then train it as a beast of war.

In version .31 and upwards the dungeon master has been removed. He is no longer needed to train large animals in .34, in .31 he was. But there was a bug that prevented him from showing up.

1. Yes, water creatures can swim from natural rivers into any connected bodies of water including those dug out by your dwarves.
2. I believe bars, grates and fortifications all let water flow but keep creatures out, including vermin at present*. The idea for allowing vermin/small creatures to pass through bars (but not grates) has been floated in the past, but to my knowledge this has never been implemented.

Also note this bug: dwarves and creatures can sometimes be pushed through grates/bars/fortifications by water flow, though in my experience this is pretty rare.

*EDIT: @Daenthy correctly notes that vermin can spawn spontaneously in habitats that support them, so vermin may still turn up in your "secure" water sources.