No. Sony NS-WS623 does not have FM radio.
Yes, you will get a pair of normal earbuds and a pair of swimming earbuds.
Yes, Sony NS-WS623 does have NFC connectivity option.
Connect the USB cable (supplied) to the USB cradle (supplied). Then, attach the Walkman to the USB cradle.
Make sure to connect the terminals ( 1 and 2 ).
Hold down the button 1 for 3 seconds.
You will hear the startup sound.
When the Walkman turns on, the lamp (2) lights up.