I think putting the piping or the shutoff in the wall does put them at risk of freezing. On the heat tape....I dealt with mobile homes for years in Vermont where it gets cold. There is always a spot where the water line exits the ground and goes into the home. If you just wrap it in insulation it eventually freezes so people use heat tapes. The normal, flat heat tape was the most common and the most dangerous. If the tape overlapped itself, it could heat up and start a fire. The one product I found to be the best, and all of the MH installers I know used it, was called "Frost Tex" or Frost Tec...can't remember. It's blue in color, round in shape and sold in hardware stores and is on a roll so you have to know how much you need. They cut off what you need and you have to buy a two piece plug kit. The store will also have a chart telling you how many wraps per foot you will need to protect to a certain temperature. This type of tape can overlap itself and not burn out and I have never seen one go bad no matter how old. You should also purchase a package of flat fiberglass insulation to wrap over the pipe and heat tape. The package normally also comes with some plastic to go over the insulation and acts as a vapor barrier. I bought a bunch of stuff one time and there was a whole case of the flat heat tapes. I threw the whole thing away because I wouldn't use them. That is how little confidence I have in the old flat versions. People still like the flat ones because they are cheaper.

Yes, the wall has to be opened up and the pipes moved up to the exact distance needed by the particular brand of faucet that you choose. Then you have to close up the walls, do drywall repair, and attach the finish trim pieces. If you ever have a leak or problem, the wall needs to be opened up to access things as well. Wall mount faucets are best located where an access panel from the other side of the wall can be concealed. The labor will be more than triple what installing a deck mount faucet would be, simply because of the work behind the walls being needed. A deck mount faucet is an easy DIY install, taking 30 minutes at most. You really don't need a plumber for that if your shut off valves are newish. Also, if you are utilizing an existing vanity, it may be too tall for a vessel sink. Vanities that will be short enough for a vessel sink would be in the 30"-32" height, not the 36" height that vanities have become over the last 20 years.

I've always loved Sabjimata's kitchen and her awesome big sink. Not sure if this is what you're looking for, but I've seen a couple of wall mounted faucets with a sprayer. However I think the hose hanging down would bug me. YMMV Elements of Design ES1241PXBS (on efaucets.com): Delilah Wall Mount Faucet with Hand Sprayer (on Signature Hardware site) This one has a pull out spray. It has the curve but not sure if the design is what you'd be looking for (Jaclo wall mount faucet pull-off spray 1212):

We are building a custom home and I am thinking about putting in all wall mounted faucets. What would be the negatives with this option? We installed wall mounted in our master of our previous house and really liked not having to clean around the base. I just want to do my due diligence before making this decision. Thank you