The dining times are assigned, so in my experience everyone was there at the same time. The waiter takes the order for the table and will probably take stragglers' orders when they arrive. Everything is pretty much served at the same time. I think it's more rude for someone to arrive late than for you to start without them.
I'm not sure what you mean about excusing yourself. Your table will probably be done at the same time, and no, you don't have to wait for the rest of the dining room.
No, you don't have to share your wine. If other guests express a desire for wine, you could offer to pay for the first and let them know they can buy the second, or one the next night. Or you can just say you'd like your own bottle. It's your money, you can spend it how you choose.