Most of your maintenance questions are answered in that owners manual that comes with the bike, if this has been misplaced you can find it here:
That dealer is taking you for a ride if they are telling you oil changes every 2500km!
The maintenance schedule stated in the manual clearly states every 12,000km; even if like most, you half that and change it at half intervals of 6,000km you'd be on check. But 2,500km that's just excessive mate.
I lube the chain after every 2nd fuel fill, so 600-800kms
What lube... just don't buy cheap stuff; opinions on what's best will be longer than your intestines and just as hard to sift through the sh!t.
Check chain slack when I'm lubing it, so touch it up as needed... anywhere between 5,000-10,000km, it really depends how hard you ride and accelerate.
You can change your air filter anytime, just note the mileage so you know when to service it. On such low powered bikes the "performance" gain is negligible. Realistically any benefit you get would only be for long term owners of the bike where the cost of reoiling the filter works out cheaper than buying X number of oem filters of the same period.