Are 'Imperial Commanders' (planetary governors) selected by the High Lords of Terra, or do they just have their official authority confirmed by the High Lords after being locally selected (by whatever means)?
Both, theoretically. Plenty of governorships are hereditary, so presumably the succession must be rubber-stamped after the fact by Terra (who will only hear about it a year or more after it actually happens). Equally, there is known to be such a position as 'Governor-Militant' (see several black library novels and THQ computer games) - a legal standing for a guard, navy or other officer who's declared martial law on an imperial world, or who's the defacto ruling authority on a newly conquered one which doesn't have a civilian infrastructure yet.
But ultimately, all the High Lords care about is that there is a 'lord governor'. Unless there is trouble on the world, or there's some sort of dynastic politicing at a sector or segmentum level, they don't really care how you select them or who you select. If you want hereditary, fine. Democratic elections, fine. The currently dominant warlord of a mostly feral world, fine. Hell, if you want to select your lord-governor by competitive Haiku poetry, he'll probably get some odd looks from his peers but that's fine by the Administratum as long as he swears the Amalathian Oath and delivers once he's in post.
For the 'birth of a sector', the Rogue Traders remain important individuals because for the most part their property isn't going to be taken off them. So whilst 'colonies in the expanse' become worlds of the imperium, the current colony leader is probably going to be recognised as the first lord-governor - and since he or she was installed by the rogue trader (and may well be a member of the dynasty), he can expect to walk off calmly with near-exclusive trade rights to the world.
Equally he will still be the recognised owner for anything on the world which can have an 'owner' - so most of the industrial facilities, the hab-zones, etc. The world will now have to deal with the Imperial Tithe, and organisations like the Arbites and administratum will turn up if they hadn't before, but much of the profitable stuff will still belong to the dynasty who founded the colony.
Similarly, things like mining facilities, trade routes, etc, which belong to a Rogue Trader dynasty under an imperial-recognised treaty or writ will probably still do so. Whilst the newly-minted lord sector will start granting new writs as the sector grows, the Rogue Trader dynasties will remain massively important for the first few centuries of a sector's life simply because most of the infrastructure that exists already belongs to them. Whilst they don't have the same legal authority in a region that's now within the imperial domains, being massively rich and owning everything in sight is a pretty useful tool.
This is where a significant bulk of a really old dynasty's profit comes from - the stuff they own in the Calixis Sector, which may well date back to things they founded in the Calyx Expanse, as rogue traders operating out of Sinophia. And so the cycle continues...
As to sector and subsector capitals - that would generally be driven by the crusade itself; it depends where is a suitable central position with warp links and a sizeable Guard and Navy element nearby when the dust settles.