Larisa

Depends how long youve been married when he arrives. 

I had two petitions running for me at the same time. The slower one just lapsed at some point fairly soon after I got my green card, long before it even got near an embassy. 
 
as you already figured out, no you won’t get your filing fee on the original one back anywa so might as well just let it run.

Whichever petition is faster will go to the embassy, presumably considering wait times, your son will be here by the time the slower one would reach the embassy
 
 

you do not need to withdraw your petition, it is possible to have 2 open petitions at the same time
so go ahead and have your spouse file for your son
 

Yes. https://www.visajourney.com/content/child "A stepchild if the marriage creating the steprelationship took place before the child reached the age of 18"

Try a stop payment then if you want to refile 

correct! Once the visa fee is paid and processed, you can follow the instructions laid out on http://www.ustraveldocs.com/ in order to schedule the visa interview at the embassy yourself. I remember getting confused on the "receipt number" to use so read through carefully.
 
Here's some more consulate information. It's located in the "portals" area. https://www.visajourney.com/consulates/index.php?ctry=Nicaragua&cty=Managua. It has phone numbers (I wouldn't try to call tho), approved doctors for the medical exam and some other things to expect at the embassy.
 
 
 

Embassy won't be sending him anything. Though our situations are different (I did a K1) I can't imagine that the process is dissimilar.
 
When you get to the point to schedule an interview, you must first pay the visa fee; I did it via online with my credit card. Instructions for that are on visadocs so you'll be creating an account there as well. After the fee is processed (mine took about 12 hours) you will be able to schedule the fee yourself.
 
For packet 4 instructions just email the embassy directly and they will send you an electronic file. Again, that's what I did. The average Nicaraguan doesn't receive mail at their house unless they maintain a PO Box somewhere, that's especially if they are campesinos outside of the big towns/cities
 
Good luck!

AFAIK it's fine to acquire another citizenship as long as afterwards every time you renew your US passport you indicate that fact along with a simple statement that your intention was NOT to renounce your US citizenship.