Welcome to the Sport Wagon family!
The condenser mounts to the front of the Radiator. Assuming you have the V6, if you look on the passenger side of the engine compartment, near the front, you should see a pressure connector (high pressure, I believe....). It's silver, hopefully with a black cap on it. That line goes from the compressor (bottom of the motor) to the condenser. You should be able to see the other end (going into the condenser) by looking just in front of the radiator support bar. However, pulling the entire front bumper might make it easier to inspect.
The rest of the parts are under the dashboard. From my reading of various posts, a TON of A/C issues revolve around the Evaporator Temperature Sensor Assembly. Which means the dashboard needs to be taken out to get to the unit.
5th Gear Pop-Out
I would check around in the MTX Transmission Discussion under 1st Gen MTX Transmission Discussion - Mazda 6 Forums : Mazda 6 Forum / Mazda Atenza Forum
Maybe the linkage?
Mazda 6 Forums : Mazda 6 Forum / Mazda Atenza Forum - Search Results
Smoked Tail Lights
The Wagon tail lights are only compatible with wagon's. So, when searching (ebay, craigslist, even junk yards), make sure the tail light came from a wagon
I would try bleeding the system first.
You can also try flushing the system. A vacuum bleeder will speed things along, but a gravity bleed will also work. Keep in mind, the clutch system uses the brake system reservoir for fluid, so if you fully flush the system, make sure to flush the clutch system as well.
But, a complete visual inspection of the braking system would be a good idea. I do this with every car I purchase. Pull the tire, check the rotors for abnormal ware, that the calipers move freely in and out, and that the parking brake engages / disengages correctly.
Mine had new pads, but the passenger front rotor was actually broken in half, like in the middle where it vents ... first for me! The drivers side rear caliper pin got bent somehow, causing the caliper to do all sorts of fun stuff.
Rear Cargo Cover
Be glad you have one LOL! Hard to find now-a-days!