If the option button does nothing, something is definitely wrong, as even if you have absolutely zero bootable devices attached to the Mac, holding down option should display a blank selection screen. Even if you have an alternative bootloader like rEFIt, holding down option will still bring up the selection screen. Any Mac within the last 15 years should work this way.
Furthermore, any Mac that came with Lion, Mountain Lion, or Mavericks should support internet recovery. You can have a completely brand new, empty unformatted hard drive and hold down Cmd+R and the firmware will download the recovery partition via wifi or ethernet from Apple's servers and reboot you into the recovery environment. So if your Mac came with Lion and won't do Cmd+R or Opt, again, something is wrong.
Yeah, something is off with its EFI but like I said now that it's working it's not something I care to fix.
Windows always assumes you are installing to an internal hard drive and that Windows will be your primary OS. This makes it a pain in the ass to install in a multi-boot environment since it'll just shit all over your bootloader configurations.
Disk imaging is available for Windows with WIM files. It's pretty easy to do if you know how to use it. You can install Windows to external disks and flash drives with ease. Imagex is a very powerful tool for this. Though you'd have to use BCDboot to correct the boot order on the drive you installed to. I guess it's similar to OS X in that fashion. But yeah, the plain installer will assume regular installation.
And if you want to mention OS installation absurdity, try purchasing a digital copy of Windows 8 and installing it on a computer that doesn't already have Windows. Jesus Christ.
This is actually pretty easy or at least something I've done enough times before to be easy :shrug:. It's also one of the reasons I keep a PXE server up with OS images available. All I have to do is boot from a Windows iso over PXE and install. Copy the cdkey from the email from MS. You can't do that with Apple hardware unless you have another OSX machine.
Which Mac Mini? I had to do this with my G4 Mac Mini and found that I needed to hold C at boot with a USB keyboard in order for it to boot from a burnt 10.4 CD-R which I then used to reimage the HDD with a nicely stripped down version of 10.5.8.
From the sound of it you've got an Intel model. On the IRCs.
It's an Intel one. Core2Duo/9400m. It's not that powerful these days but good enough to run XBMC.