Hi Chris,
These are damn good questions

1. The setup project does not include add-in. It probably would make perfect sense to just combine everything -
so that one can have Addin + Templates + Stencils + all other files all in one solution.. Would make perfect sense, and is relatively easy to add.
I.e. you start new project -> then select what you want in that project, like "Addin -> COM/VSTO/None, Templates -> Yes/No, Stencils -> Yes/No, Other files (like readme or PDFs) -> Yes/No..
You can do like that by hand now, but it does not come out of the box, although it's not complicated actually.
In principle you can just add files just like this (in the Product.wxs):
<File Name="your PDF file" />
I'll try to post a normal example of XML when I get home - basically all you need is just to change the WiX xml

2. To link output of one project as input for WIX, you can just reference a project output files (Add reference -> Project output).
Does not play well for VSTO type project though (shows an exclamation mark, because M$ decided that VSTO does not need installers, so VSTO projects can't be referenced) but it actually works de-facto if you just ignore that exclamation mark.
Here I found some screenshots:
http://www.kentie.net/article/wixtipstricks/About the VSTO.. I would not do an MSI-installer for VSTO-add-in.. Why? It supports already publishing out-of-the-box. Automatic update/publishing will be lost for example..
Note that you can include additional files when you simply publish a VSTO-project.
BTW, There is now also a
second coming of the .vdproj - also as an extension.
It does not seem to play that well with Visio Solution publishing tool though (AFAIR the solution publishing tool expects some tables which are not there - if you add those by hand, it works).