There's no priority of any shell; they were created with different targets in mind: fulfill any possible and imaginable desire towards a shell; tiny in ressource usage; mathematical functions built in; what have you...
That's not quite true: although most shell share an intersection of internal commands, every single shell has its idiosyncrasies. If you make use of the latter in your script, it will fail if run by other shells.
Yes it does as it is a non-executable comment. If, on the other hand, you chmod that script to be executable and launch it, the CLI checks that "shebang" comment and uses that command to run the script.
There's internal (builtin) and external commands. While the external cmds depend on the installation and are identical no matter what shell you deploy, the builtins may severely differ between shells.
Shells are CLIs (command language interpreter) and thus constitute the interface between you (user) and the "system". They read your commands, interpret them, and call one or many system functions/programs to execute your command. Advantages of either: none except satisfy proclivities.