ESD protection for signals routed through multiple boards
It would be unreasonable to place ESD protection everywhere. Placing ESD protection on a connector to an internal board that does not expect any user interaction that is behind another board that already has ESD protection for its exposed controls/connectors, is like placing ESD protection around a chip in the middle of your PCB.

Do you expect manhandling during assembly? Hopefully not because technically everything is handled at some point but you can only do so much and those performing assembly should have ESD measures in place, but I've seen concerns before about untrained staff in the final stage of assembly connecting boards together. Or during servicing? I've heard of concerns about techs doing field maintenance where they do not have the ability or wherewithal for proper ESD measures.

This depends. You want to maximize the distance of the ESD protection from the vulnerable components. You also want to stop the ESD before it propagates too far since it can radiate along the way and cause issues.

Yes.

I don't know about antennas inputs. I imagine they are very
sensitive so I don't know how ESD is dealt for them, if at all.