It sounds like you are talking about the 5V and 3.3V connections on the right hand side of the shield. It looks like the 3.3V pin is not connected to the output of the 3.3V regulator, but just connected to the Arduino's 3.3V output. If you are supplying 5V on the VIN pin, the weather sensors on the board should still be getting power. Also, the 5V line is intended to be supplied from the Arduino, but it looks like it is only needed for 5V level shifter pull-ups, so you probably do not need it since you are using a 3.3V microcontroller.
If you have additional questions, I hope you post on our forum, which is a more appropriate place to troubleshoot your system.
I am not entirely sure how adding a hole through the stepper motor shaft would help. It seems like the wires would still get twisted as the gimbal rotates. The typical way to deal with this kind of situation is with the use of a slip ring (e.g. http://www.adafruit.com/products/1196). Have you considered this approach?
We have not tried it, but I do not see why the muscle sensor would not measure a finger movement if the electrodes were placed correctly. We have also not tried using things other than the included hardware as electrodes, so we are not sure if other materials might possibly work with it.
I recommend contacting the manufacturer, Advancer Technologies, to get more definitive answers to those questions and to learn more about the ICs that they use on the muscle sensor.
While the LCD pins on the A-Star Prime are remappable, it's probably not that practical to use it on the Zumo with an LCD. However, we are currently working on a Zumo version with built-in LCD support, so stay tuned!