QUOTE
Would it be possible to change Unit Messages with .wav files?
When you say 'Unit Messages,' I assume you mean speech and what they say. Yes that is possible but I'm pretty sure only to the existing sound files.
QUOTE
Would it be possible to make any unit fly?
I believe changing the flingy for the unit can let it fly.
QUOTE
And can you use EUD triggers to add/subtract any amount of damage, hp, etc. from any unit?
Yes I believe so.