You could use the caption function, but before you do that, you have to put the required number In a tag field of every image. So I don’t know if this is really helpful.

And if you don’t want the text above to split, you can set the paragraph to span and increase the right margin.

Does it make a difference if you put the text frame on a new layer above the layer with the background?

In your screenshot everything looks like it should be: The 3rd and 4th word of every paragraph is italicized, but not of every line (and I don’t think that nested styles could do this for every line in the paragraphs).

Numbering Paragraphs… on their right side!

If I understand it you want to adjust the offset of the paragraph border. You can do it separately for top, bottom, left and right.