State Feedback: For the most part, yes they all do it on some level. But there are various subtleties to it and it is not consistent even within for example Z-Wave between manufacturers. I don't know if there is a detailed comparison of this across devices somewhere. Lutron patents are one of the reasons why this varies.
Wall Switch: Somewhat ambiguous as to whether you are talking about leaving standard wall switches in your installation but if so the simple answer is no you have to replace all your switches with smart switches. At that point they will all work together like you describe.