This isn't always the answer.
If you go first and blow up a game, it can definitely stress out other players.
Also, sometimes games have progress jackpots you might be able to take advantage of by going first. Eg. Cyclone, Bride, Mustang

... but yes, generally players pick last.

There's some wiggle room here. Generally true, but if you're at a coin drop location or chasing a score people sometimes play it out. Usually people will ask the other players if it's cool and assuming you're not holding up the tourney, noone will mind.

Good move. That's basically how I learned how to play tons of donkey games I don't like. Get demolished then go learn the game so it hopefully doesn't happen again.

If you are going to adjust tilts for tourneys, I would highly recommend the ear plug mod. With that you can set them tight but fair.

You cut a generic foam ear plug into 4 long ways. You put one of the strips through the hole where the tilt bob connects to the cabinet. The effect is that the tilt bob settles down almost immediately after a move. This lets you set the tilt such that it is as tight as you like, but you don't get any more phantom warnings/tilts. You'll want to experiment a little, and probably set the tilt a little tighter than you're used to.