Welcome Beatrice. As you go a long your paleo journey you'll learn there are no hard and fast rules, as such, and you'll come to know what works well for you and your own preferences on certain matters. But to help a long the way here are some quick fire answers to your questions.
Milk - Coconut milk doesn't necessarily replace dairy, it's just some people choose to do so. There are a number of reasons for this, the first being that some people do better without diary and it's certainly worth experimenting to see if this is the case by removing it from your diet for a period of time (most people would agree a minimum of 30 days). Coconut milk is, well, somewhat milky whilst being very high in medium chain triglycerides, a saturated fat that the bodily quickly utilizes for energy. If you're to continue with dairy in your diet I recommend consuming A2 raw dairy, ideally in fermented forms, i.e. yoghurt.
Sweeteners - This is potentially a big can of worms, personally I would avoid sweetener in day to day life, your taste buds will change from all the sweetness, and as such you'll stop craving ultra sweet things. If you need to use them from time to time (perhaps in cooking..) then honey & stevia are pretty good choices IMHO.
Cooking fat - Duck fat is a pretty good choice, however one thing to be mindful of if the fat comes from factory raised ducks it's likely to be high in omega 6, something which you need to keep an eye on (ideally you want an omega 3 / omega 6 ratio within 1:1 - 1:4 and less than 5% of total calories). Excellent cooking fat includes pastured butter, pastured ghee, coconut oil, pastured lard / tallow. Olive oil is less optimal for cooking because it can oxidize when exposed to heat. Saturated fats are much more heat stable and are thus better for cooking. Save the olive oil for salad dressings or drizzly over foods before eating.
Chocolate / Wine - 85%+ chocolate is a fine choice, it's low in sugar and high in fat. No dramas with a few squares a week. Dry red wine is also a good alcohol choice, it's quite widely agreed anything more than one drink in a session is less than optimal, but you decide how you want to live. Personally I like to indulge every now and again.
Hope that helps. As a parting bit of advice, eat liver (1-2 times per week) and sprint every 7-10 days. Massive pro's to both of those.