Nick's notes say thin epoxies can be brushed, thick should be rolled. The most popular seem to be MAS, West, and System Three -- which would be thick and which would be thin, or is it a matter of temperature more than brand?

I've used a lot of WEST, and some SystemThree Silvertip epoxy in the past few years. For me, WEST is definitely on the 'thick' side - corn-syrupy. SystemThree Silvertip is a bit less viscous, but not at all 'watery'.
The S3 might be your best bet for 'all purpose' epoxy; the Silvertip is almost colorless so there's no unwanted amber cast over carbon, which is why I use it.
For any epoxy, if it is cool it will be more viscous, so best to use at room temperature (at least). It's also important to have the 'recipient' (boat, skeg part, etc) warm when the epoxy is applied.

I haven't rolled on epoxy for years. When glassing, I generally use an auto body (Bondo) spreader, and a brush in spots if necessary.

I have Nick's skeg plans which describe building the skeg box from 4mm Okoume. Since it will be enclosed in fiberglass, would milling it in two parts from solid cedar be acceptable or am I losing strength?

The advantage of using plywood is that it is strong, and tends to stay flat. You can also glass the plywood (both sides) before cutting it to shape. If you don't have plywood scraps available (they don't have to be 'marine' ply IMO), you could always laminate up a panel if you have the woodworking machines to make some sawn veneers.
It's also possible to make skeg boxes out of glass/epoxy (I've made a couple over a sacrificial foam mold) but using plywood would be easier.