1) Should I use the German names for states? Examples: Wien instead of Vienna, Niederösterreich instead of Lower Austria, etc.
I think so. It would make it feel more authentic.2) How do you create a territories with a cut-out in it (exclaves)?
You select both and then use the difference feature.
"Cutting Holes" for more information3) Should I include the micro state of Liechtenstein in the map
HECK YEA!!!!!! Liechtenstein is never going to get it's own map (at least a good one) and plus, it's just awesome!!!!