You can add to the exclusions lists if you are sure a file (or folder) does not need protecting by a backup which will remove the skipped files warnings.
Each of the entities you list is a different backup set - although multiple sets can usually be selected for backup in a single job. (note in this context a backup set is a drive letter or a database etc - so C: D: System State, Shadow Copy Components and an Exchange Information Store counts as 5 backup sets)
Also you can't get the server back in one pass with Backup Exec - you will have to recover the operating system (so drives, System State and Shadow Copy), then recover the sets for Exchange, SQL, Sharepoint and EV data (in separate jobs) - which could be a fair amount of 'hassle'
As the SBS license for Backup Exec will not cover protecting EV - it is likely you will need to use an EV Agent license - and you may need to confirm when you arrange for this whether or not it can be installed on the SBS license for Backup Exec or whether you will have to use a standard core license for Backup Exec and therefore also need the Sharepoint, SQL and Exchange agent licenses.