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Hello again. Here we go.Question 1: yes you should have wheel speed sensors on all 4 wheels.
Question 2: I am sure what you saw was the connector for the wheel speed sensor.Yes the scan should show which one is specificly causing the problem.
It could possibly be a wiring problem.Hope it isn't.Finding a broken wire can sometimes be a nightmare.
Qustion 3: No special tools required.However,if it is a front wheel bearing causing the problem you will need a 36 mm socket(I think) to get the nut off the front axle.
I hope I got them all. Any more questions,just ask I will be happy to answer!Thanks