The Sword of the Gods is in the wastelands in one of three houses east and south of the mostly-deserted village.
The holy grail is used for part of the Boratus quest (the mage turning people into animals). If you entered his house in the Dark Forest, killed him, and used the key he dropped to open a chest, you would have found a book describing how to reverse the transformations...
Any class can learn any skills. A survivor will not get quite as much mana as a mage per intelligence point, but the bulk of your mana probably comes from equipment bonuses and charms anyway, so that shouldn't matter.
See
differences between classesor
Early Starter Tips (NON-Spoiler Version) which contains most of the same information.
There is no Saint's set; that is a prefix/suffix which can be randomly applied to found or dropped equipment. Divinity only has one set, though Riftrunner will have more.
Completing the Dragon set casts Bless on you, which is a temporary effect. You also permanently learn a level of Elemental Strike and get experience points.