I have gone to _Slugline and Modify Style. I don't see any check box or Drop down for Keep with Next
AND: Set your ACTION and DIALOG styles to keep lines together but not keep with next. Don't understand this.

I am pretty limited on what I can do on Modify Style. Name, Style type, Based on, to follow

As for "I would suggest CHARACTER as the style to follow ACTION."
It doesn't always work that way for instance

STUART
(He jumps up)
What was that

STUART
Can I help you out?
(He gets up)

You can't guarantee what comes next every time.

As for different first page. I found out that you have to click on the footer to get the tab to show.