the "great wall" is the elohim world spell, and should wear off in 30 turns.
the desktop link should be
"your civ folder"\Beyond the Sword\Civ4BeyondSword.exe" mod=\Fall from Heaven 2 034
the 'pedia isn't finished yet, and probably won't be until 0.40. Remember, it's a beta, things are being changed on a weekly basis, and it would be a shame to write a complete pedia entry, only to have the feature in question being taken out a month later. Same goes for tuning the AI to certain mechanisms.
About those 2 questions:
-khazad and ljuchirp living units are dwarven
-Ljos and Svalt living units are elven
-almost all other units have their race depicted with the starting promo's
About building improvements in forests: this was changed to be a civ-only thingy. Only the Ljos and Svalts can build on forests (besides lumbermills, those are buildable by all)