I'm afraid a dealer like this will also screw you over on maintanance. You might be best advised to buy elsewhere.
No, you can get a water separator, but it's aftermarket, and it goes on the output, not the input. Anyone who uses their compressor to paint has a water separator.
Nitrogen fill will tie you to the dealership, and/or Costco and others who offer it. Pure nitrogen fill a little less prone to bleed out of the tires, might be beneficial to the rubber as well. I would walk on that, it's mostly bull.
Nitrogen option is worth exactly $0, it's a bigger scam, not in price but in the pure insanity of it, than the $300 pin stripes that used to be the rage as an option on a car.
Don't count on it. I used to pump my tires up at a Shell gas station, until I realized how much water spits out of that thing. I hope that was the exception rather than the rule. Anyway, I don't even wanna get a small, handyman-type compressor for tire inflation purposes. I don't want another tool to put away, water to worry about, noise as it fires up..... I just use a floor standing bicycle tire pump. When I would top up 1-2 PSI, it takes no time.
Some of the water that is perceived to be in the air coming out of the compressor actually is just condensation from the outside air. When the compressed air is decompressed, it rapidly cools, causing condensation in the air it is mixed with. If you empty and drain your tank, the air you pump into your tires ought not have any more water vapor than in the air that the compressor takes in. If you want to try an experiment, try taking a nitrogen filled tire, bleed it and see if it feels "wet" like regular air.
+1 If a compressor is maintained, the tank gets drained frequently. Many large shop compressors have an automatic drain that lets a small shot of air with any accumulated water out of the bottom of the tank. So, the air out of compressor will normally have less water than the air that went into the compressor. The compressor is removing water from the air, not adding it. OTOH, air from a bicycle pump or tankless compressor will still contain all the moisture that was in the air. It's exactly the opposite of what "common sense" tells people.
I put nitrogen in my tires a year ago, and have no regrets. It included free rotation .... I would have spent far more on rotations than the nitrogen cost. That said, I just installed 4 new Michlien Energy Saver tires ... and did not put nitrogen in ... but I may later.