I'm still wondering if at the end game we really have the option to conquer the world. I mean, it could be my villain story :)
Also, I have been wondering if Chloe can absorb other Fey, does she get their knowledge, power and memory too.
Not the world, no. Gotta save something for the sequels ;)
Think of Chloe's situation as having roomates and you sometimes borrow their clothes and work gear. She can take on their appearance, powers and personalities, but she doesn't have access to their memories - although they could tell her things if they wanted to.
CK has been planned as a trilogy. First game, conquer the town and its surroundings. Second game, conquer the world. Third game, conquer the universe. Probably ;)
Gwen's strength comes mostly from training. And something else, but that's a spoiler, sorry!
You can leave the Manor in Act Three, and if you download tomorrow's update (or grab it now from Patreon or Subscribestar) you'll see why you can't enter the Nexus :)