The location of the Captains Club event varies Depending on how many eligible members there are on board. Consult the instruction sheet you will be given in your stateroom or stop by the Captains Club desk to ask.
It’s probably easier to just show up at the one of the main dining rooms on e class ship than on other ships but in general the protocol is to consult with the maître d’ in Luminae and have him or her coordinate this for you. They can figure out where they can make a space for you. Since you don’t have an assigned MDR dining table, they have to fit you in.
As the review you read stated, it does happen. I don’t think anyone can tell you any sort of statistic about how often, however. If the assurance that you can always open the window is important to you, perhaps the infinite veranda is not the best choice of stateroom for you.
On most ships, the shows are at seven and nine with a possible late night show at 10:30. It does vary sometimes however I have personally never seen shows that start at 6:30.
If the main reason you are booking, the retreat is to take an early tender to Santorini, it would be much cheaper to choose a regular stateroom, and then just book a Celebrity shore excursion that leaves first thing on arrival, go over on that early tender and then ditch the excursion.