First, you can't use galvanized fittings.The 90* elbow looks like silver galvanized in your picture, unless it is stainless. They can be black iron or brass.
The cylinder must be outside the building. Stored outside the building, used outside the building. Never store it or bring it inside ANY building.
Not knowing the BTU of your heater and system there is no way to properly size a cylinder. (Tanks are ASME lay down type - you have a DOT cylinder) If this is the only appliance supplied I'm sure the 20# cylinder is fine. (it goes by wetted surface area of pressure vessel that we won't get into. You're confused enough
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You need a shut off valve at the appliance. (or within 6 feet in same room if using appliance connector)
Copper tubing or black iron through a wall or partition only, not appliance connector or rubber hose. (The connector or hose must be inspectable the entire length)
If going through cement, plastic sleeve over copper tubing. (to prevent contact with masonry that contains lime)
Your picture shows a BBQ single stage regulator. This is only used for a manual operated burner outdoors such as a bar-b-que grille. For indoor use you need a two stage regulator.
Notice the cap on your BBQ regulator screws on the top over the pressure adjustment screw. The appliance regulator is built the same way, but that cap when removed may have threads on the other side, so you remove it, flip it over and reinstall. The cap then puts different pressure on the internal spring. The cap is normally marked NAT and LP on the outside when in position. (back then some were painted red on one side) As stated above, if it a NAT regulator only and not adjustable, remove it so you get full system pressure to appliance. (An adjustable regulator in LP mode is actually blocked open inside to use full system pressure)
For oriface sizing;
If there is a data plate, you need to know the BTU of burners. Divide that BTU by the number of orifaces to come up with the needed BTU of EACH oriface. For example 1/64 drill is .0156 inches and allows 1700 BTU to pass at 11" W.C. (your regulator setting) So 1700 X the number of orifaces is the total BTU the 1/64 drill bit gives you. (I see 6 in your pic, so if it has 6 orifaces total that would be 10,200 BTU which I'm sure isn't enough). I would imagine your heater is in the 30,000 range?? Possibly 10,000 per burner maybe? It should be stamped somewhere. You can't simply make it as much as you like since burners and air mixing tubes are designed for a certain BTU.
The air adjustment is the last thing to adjust when the fuel pressure and oriface size is correct. It is an open slot where air enters and may not be adjustable if there is no movable cover or flap. In your case, the shape of oriface allows air to enter around it and the open burner tube is the air inlet.
An adjustable air inlet is at the oriface end of what is called the mixing tube. Air and fuel mix in this tube before the burner with holes. You have mixing tubes that are part of the burner where air and fuel mix. Gas from oriface displaces air in mixing tube and atmosheric pressure PUSHES are into void allowing air to mix with proper proportion of fuel. Height of burner as mounted may allow adjustment opening or closing area of incoming air.
Your circle is on the fuel manifold having nothing to do with air, it has 100% fuel vapor in it and through orifices.