You don't have to shout. With its multiple microphones Alexa is pretty good at hearing you over the music. There is also a remote with a built in mic in case you want to control it from a ways off or there is a ton of background noise.
Sadly you cannot change the wake word. 'Alexa' or 'Amazon' are the two available wake words.
At full volume, probably. At a normal volume, it's pretty good at picking up the wake word (which by the way can just be "Alexa" or "Amazon") at just a slightly raised voice. It then lowers the volume to hear what else you're saying.
My first test if I get the device is to change the wake word to "baby" and play Justin Bieber's number.