Magic beings require magical leadership. The term confers no in-game combat benefits.
Ethereal means that 75% of the time, the target is unaffected by non-magical weapons.
Most if not all forged weapons are considered magical weapons. I can't say for sure that the Gloves of the Gladiator are magic, but they probably are. You get 4 attacks per round, not per battle, but you are limited to a single combat square. So if you kill a size 6 creature in the first punch, you waste the rest. You probably don't need to worry about those kind of mechanics for awhile though.
Ghosts are undead instead of magical, but that has no bearing on their combat abilities. Most are ethereal too, you can tell by right clicking on them and looking for the ethereal icon which looks like a little grim reaper minus the scythe.
Buffs like Barkskin last for the duration of the battle. Magical attacks are 1 attack per script, so if you want your prophet to smite over and over you have to script smite, smite, smite, smite, smite, cast spells.