Best way is probably to run power right to the pcb, connect your always on led to positive and ground, the rest of the LEDs to ground then run the positive to one side of the switch and the other side of the switch to the anode of the LEDs that you want the switch to turn on.
If you don’t want the switch connected right to the PCB you could always add wires to extend it
Since the Arduino boards are open source the clones are generally just as good. The main advantage of buying the official boards is higher quality control, but being able to buy twice as many clones makes up for the occasional dud. You’re also helping to support future development of new boards and software.
The kits are the easiest way to get started, only downside is you might end up paying for a few parts you don’t use compared to buying individually.
This circuit does work but the always on LED can just be connected right to positive it doesn’t need to also be connected to the switch. It does depend on which switch type you’re using, I’m assuming it’s spdt like in your diagram which means that with your current circuit when the switch is in one position the main LEDs will be on and the indicator one is off and with it in the other position the indicator one will be on and the main ones off. Which also works fine if that’s your intention.
Shouldn’t see any issues, this is how it’s usually done. The only thing to watch out for is the longer your wires to the switch the more resistance your adding but it should be negligible unless it’s crazy long.