This is your absolute first start location. Once you have all of that working, you’re good to go.
OK - One by one:
This is normal, sort of. A lot depends on where you ESXI host is. If it’s in your local network, the NAT wouldn’t be an issue for the extensions.
Off-hand, this sounds like “probably” a NAT issue with your remote phones. Without a SIP DEBUG, you’re going to have problems troubleshooting this one.
This means the Remote phone is not registered when the call occurs. That sounds like a SonicWALL problem, but once again, the NAT settings will need to be looked at.
All of this could be the SonicWALL, but I suspect you’ve got a couple of issues that working together to thwart your enjoyment of life.