It took me about 10 minutes tops to set up my first embark group... maybe 15-20 if you count time planning it while checking out the different skills on the wiki. Now, admittedly, I have a fairly fast computer, so I can alt+tab between the game and the wiki quickly, but it's not like it doesn't have a windowed mode. How difficult is it really to use the arrow keys and +/- to set stats for 7 dwarves? And it already has basic items, food, drink, etc selected for you.... I think there are (or at least were, may not be there now) pages on the wiki specifying some good starting builds. In all reality, it's not that much more complicated than say creating a character in Oblivion, and actually simpler, IMO, than creating a character for D&D or something.
That point aside, I would like more feedback on what's going on when abandoning, saving, etc. The world building already has a lot of feedback though, it says on the left side of the screen exactly what's happening. I can't speak on the n00b installer, I just downloaded from Mayday's website the first time, and then got utilities later, as I needed them (How many newbie fortresses get populated enough to need DT?) If I want to play Pacman, I play for maybe 10-15 minutes, if I'm really bored, I start DF and can play for hours... there's a difference in complexity, and there's a price in the learning curve (which is admittedly steeper than it has to be).
As far as what's new, at the moment it is pretty much just bug fixes. If you're that eager to see new features and news, use the RSS feed. The graphics aren't that hard to set up tiles for, and graphics support is actually fairly high on the future feature voting thing if I remember correctly. The interface is complex, but there so much that can be done, it really can't be simplified much without perhaps some subcategories for buildings and designations, or adding full-blown mouse support.
As far as the speed, I can't help you much there, but it seems to run fine on my 2GHz single core, 2GB Ram machine, at about 50-75 FPS on a fortress with upwards of 30 creatures (mostly animals, so if I caged them it'd be closer to 80-100 fps). I think there's some information on the wiki about optimizing the frame-rate, so you don't have to figure it out through trial and error.
As far as the new stuff:
1. Some basic embark options would be great, except that you never know ahead of time what foods, metals, etc a civ is going to have access to, so making static embark settings only half-works.
2. I would be all for having it as an option, or linked from the main page, but again, most brand new players don't need to be trying to run a second application on top of figuring out DF, only to manage 7 dwarves.
3. I agree with smjjames here, besides, you can already download DF bundled with Mayday elsewhere. Now, I wouldn't oppose a link to Mayday's site from the main page or something.
4. Zooming works, or perhaps just including a second version of the default tileset, only slightly larger.
I think the majority of newbie problems could be alleviated by a "New Players" page on the DF website. Some links to DT, Mayday, the wiki, etc, perhaps a short blurb of advice or something.