Alright. I can answer your questions.
1. It IS possible to add more than the current amount of stages. There are even packs around that do it for you. I have NO IDEA where they are though, so you'll have to find it yourself.
2. You CAN edit game modes. But you won't be finding any of us here at KC-MM doing it. Unless PhantomWings (the guy who started all of this stuff) happens to pony up and dives into some serious ASM hacking, you'll just have to see what the people over at Project M are doing.
3. It IS possible to add more than the current amount of Skins. The system that does that is called BrawlMasquerade.
And it isn't finished. You'll have to bother ForOhFor Error if you want to know why though.
4. Adding additional characters to the game is NOT POSSIBLE. Yet. What you're asking for is the "clone engine," and that hasn't been finished. In fact, I think they actually managed to get something running on the slot the developers left in for Roy, but it was horribly horribly broken.
In any case, until then, for character mods anything you download is going to have to replace something already in the game. That, and you can only have one moveset per character. It's unfortunate, but you more or less will never have more than 35 fully functional characters.
Lastly, if you can't get to the downloads, follow the instructions of that "If you are experiencing errors while browsing the Vault (windows only saying "Problem:")" box at the top of the screen. It might help.
Waitwaitwait.
When the HELL was I involved with BrawlMasquerade? I think that was Dant.