You will set up everything (location, flowers, cake, hair appointment etc.) once you get to CSA. THats why you need to be there 2 days in advance. We're doing a cocktail hour/reception so thats when we'll be doing our first dance. So i'm not sure about that one. SOrry!
I was just at CSA, and saw a wedding where the couple did their first dance on the beach just after they signed the wedding register. Seemed kind of nice!
I think you can pretty much do it whenever you want to, you just have to discuss it with the on-site wedding coordinator when you're there. They do a GREAT job of accommodating requests, so whenever/wherever you want to do it, i'm sure they'll make it happen for you.