Carlos, welcome to the forum!:D
I won’t attempt to answer all your questions tonight, but will give it a start. Likely, other members will fill in more of the blanks.
In general, it seems as if you have a useful outfit planned. While I have no experience with WeMacro products, I’ve heard nothing but positive feedback by users. As to specifically comparing the quality of WeMacro lenses to Nikon or Mitutoyo, I don’t recall if anyone has done that. If not, it’s a good question.
You ask if you’re missing a crucial piece. Trust me in saying that no matter how well you plan, you’ll keep finding things you need or want for some while as you pursue this path. Some of us never stop. You will, for example, want something to hold your subjects.
One thing I’d consider crucial is some sort of mounting platform for your WeMacro rail and subject holder. This can be a piece of wood, metal, rock or concrete, perhaps also rigid plastic. The idea of this platform is to mechanically couple your camera and subject. This helps a lot in reducing vibration (often a difficult thing to deal with at first) by making the camera and subject move together.
You asked what lighting to use. For beginners at 4x and 10x magnifications, the best answer is flash. Flash, when used on its lowest-duration settings, is like a magic wand for freezing out vibration. (To repeat, vibration is usually the first big obstacle beginners face.) Later on, you may prefer continuous light, which has some advantages over flash—but that’s not a question to entertain at the beginning.
I am under the assumption that (all?) 10x objectives require a 150mm tube, and a 4x needs...less tube?
There seem to be a few misconceptions here. So let me try to fix them. Finite
lenses need to be mounted on empty tubes; these tubes are designed for a particular tube length as specified on the lens.
But you are looking at infinite
lenses, which require a converging lens (sometimes called a tube lens) to be used with them. That converging lens needs to be placed at infinity focus distance from the camera’s sensor plane. That distance will be created by a tube, camera adapter, and the depth of your camera from lens mount to sensor.
Since you’re buying the Raynox DCR 150 (a lens originally intended for a different purpose, used here as a converging lens) in a WeMacro Pro setup, I’d suggest asking WeMacro the best way to hook this setup to your camera body. (WeMacro is said to be very good about customer service.) The issue isn’t just mechanical connection, but also getting the total length right to achieve infinity focus on your sensor.
Once you have a converging lens mounted at infinity focus in front of your sensor, you can mount either your 4x and 10x lenses on it, presuming they were designed for the same focal length of converging lens. (Objectives designed to work as a set are designed for the same converging lens; most objectives made by a given manufacturer are designed for the same converging lens; objectives designed as Mitutoyo "work-alikes" are designed for the same converging lens; and there is quite a bit of wiggle room--most infinite objectives work fine with converging lenses in wide range of focal lengths.) So you should be able to use a single setup for both your 4x and 10x objectives.
Regarding sensor sizes, you’re right. Your small m4/3 sensor crops the center out of the objective’s image circle, effectively reducing the camera’s field of view. (Don’t let this stop you—some of our members make wonderful images with m4/3.) If you ever move up a size to APS-C, you’ve be cropping less--enjoying a wider field of view—and matching closely the high-quality image circle of many objectives. If you jump another size higher, to DSLR full frame, you’ll get still more field of view, but will be recording the slightly less acute edges of the objective’s image circle. For most objectives in most uses, this slight loss at the corners doesn’t matter, but the additional field of view may be helpful. There good arguments in favor of each of these sensor sizes for the photography of small things.
Good luck as you move into high-magnification macro photography!
I’m sure other members will fill in around my advice.