Yes, in Halo Wars you will be able to play as the Covenant. I dont know, however, if you will be able to play a story mode as the Covenant, but I know that you will be able to in Free Play and Xbox...
yes you can also play as the arbiter
you can only be covenant in the mutiplayer. and you click on your pic of who you are then chose a leader i think
No unfortunately you cant
Yes, Halo ODST and Halo REACH. Future Halo games may be released by 343studios.