Where did the master go, who was he, why did he leave,

We still don't have the answer to a couple of these even now.

why does Luxu have what will later become Xehanort's keyblade?

He got it from the Master of Masters. The Eye that's in the Keyblade actually belongs to him (somehow), and it basically allows him to see "through time". That is, he can see every Event that Keyblade was / will be present at, regardless of *when* that is.

What's in the box and why was he in the Badlands (later the Keyblade Graveyard) with it?

We still don't know that yet.

what/who was the secret allegiance of keyblade wielders that Ava was training?

The "Dandelions". Their whole role is to be a handpicked group that specifically tries to not get entangled in the Keyblade War too much.

Who was Ephemer and why was he important enough to warrant a scene with Ava when every other scene was only between the Master/Foretellers?

He's one of the Dandelions.