1. Yes, it is a bone club according to the "everyone" equipment screen. In this case, I believe it is a valid translation for a sasquatch.

2. As was said by others, Relm was Strago's only reason for living. When she "died," he became so distraught that he seemed to lose the will to go on. Hence the cult.

3. Shadow IS a ninja. I doubt he stayed in there, he probably managed to find his way out, just like everyone else. After all, he gets away from the floating continent, (if you wait) it just takes time.

4. I rather liked the ending, I thought it was pretty good. Fit into the storyline quite well, in my opinion.