1. How do you filter?
Unless learning in central London, don't. Worry about this when you've passed.
2. How do you overtake safely?
There are very few hard and fast rules on this. I think the best advice I can give while you're learning is don't attempt it unless there is almost double the space of empty road you think you need. A missed overtake will at worst get you a minor whereas a botched one is an instant fail.
3. When do you indicate at roundabouts?
Hard to describe without a diagram/model to talk you through it. Read your highway code and speak to your instructor would be best.
4. Is the speed limit 40mph on all A roads? (the A1306 in particular)
No. The speed limit on A roads can be anything; 30, 40, 50, 60 or even 70.
And just an opinion based question - After how long riding a bike did you become confident, and not brick it every time you go out? (i was very nervous going out on the road for the first time).
This is normal and healthy. People who say they don't have the fear when they go out tend to either be liars or end up in pine boxes.
Riding my own bike unsupervised first time after the test was much more scary than the supervised rides. Took me a couple of thousand of miles to really relax. Even years and tens of thousands of miles later, the possibility of coofing it is still always at the back of my mind.