Yes, you need to save (I think) 6 fuzzles in the escape from Vykker's Labs and 2 muds when you return there, but other than that you just don't save anything. I don't even think you have to kill them (though I did) to get black quarma.
As for the moons, there have been many discussions on this topic in the past. They've mainly been based around two theorys. Either a) meteorites landed at exactly the right moment to create the craters at the time that the heroes were finding their calling or b) the craters have been around for ever and the heroes themselves have been unaware of them.
For more detail, do a search.
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Spending as long as I do here, it's easy to forget that Oddworld has actual fans.
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