Great questions, Joe! Here are the answers:
1) How does the Path Finder mastery work with water? Can you place a path over water? If you do, can the Path Finder or other avatars enter the water tile from an adjacent hex that does not itself contain a path or launch?
Paths may only be made over non-water hexes. I will clarify that in any future revision of the game.
2) The rules concerning wounds say "Shadows cannot heal wounds or recover drains." Does this just mean that they don't heal at the end of the turn as avatars and Xulthûl do? Or does it apply even if the Shadow manifests as a creature with an ability such as Regeneration? What about abilities that provide additional life such as Vitality?
Shadows only accrue life in the Shadow Realm. Once they enter the Realm of Aethos, they may not heal or recover drained life. Any abilities that grant life points or healing (e.g., regeneration, vitality, etc.) do so via the material form the Shadow manifests and vanish when the combat ends and the Shadow returns to its pseudo-material state. In the case of abilities that grant additional life points, those additional life points vanish when combat ends and the Shadow loses its physical form -- so, if you have a Shadow with 4 life and it gets an ability that grants it +4 life, you have an 8 life Shadow on your hands... but, if you do it 4 wounds and then run away, it will lose its manifestation with the end of combat and thereby lose the ability that granted it +4 life... it would then have 0 life remaining and die.
I hope these answers prove helpful!