For the ape, Nero should recognize it after install the Monkey Audio filter, but if you can convert it to mp3 using goldwave, then thats really no use for opening ape file using nero isn't it? Since Nero can create a Audio CD template and drop the wav/mp3 created by goldwave and make a Audio CD right after.
No, you need a direct show splitter for ape files before Goldwave, or anthing can decode it. The reason Goldwave can decode many different codecs is because your system has the necessary splitter already installed, probably from something like K-lite
What the plugin does for Nero is to help decoding the ape files, it probably contain an ape splitter also. Using Nero with the plugin saves a few steps and time compare to doing ti with Goldwave.