1. If you buy a Z130 you will have trouble loading UK maps. You can not just update with the EU version of CNSD-210FM because the s/w version numbers are the same. If you had a Z110 or Z120, you could probably load the EU update, since those units are still at the old version. BTW, there is probably some cleaver way of getting around this problem using TestMode to physically hack the files on your unit, but you are treading in dangerous territory.
2. There is always a risk involved w/ebay. Is it a private party or an ebay merchant? I bought my Z110 from a non-authorized ebay retailer (Eclectic Mart) and had no problems - however, if I had required any warranty work or support, I'd be out-of-luck.
3. No. The DVD drive is locked to region 1 (US), the FM tuner uses US frequency standards and can only tune to the odd (i.e. 99.7, 101.1) frequencies. I don't know if this is changed by loading the EU software.
4. It'll have you driving on the wrong side of the road LOL - just kidding. 
I believe this has been done in EU and AU, but I'm not sure how satifactory the results were.