One-way flight to USA on ESTA, leaving by foot?

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What's my chance of being admitted to USA if I don't have an exit train booked?

You're unlikely to be allowed on the plane in the first place, as Timatic states that a return ticket is mandatory for ESTA passengers:

A return/onward ticket (or electronic ticket record) must be to a final destination country other than Canada, Mexico or contiguous (adjacent) countries or territories situated in or bordering the Caribbean Sea. If a passenger holds proof of residence in Canada, Mexico or a contiguous (adjacent) country or territory and is transiting the USA to that country or territory, then an onward/return ticket to that country or territory is accepted.

You could however buy a cheap fully refundable ticket and amend/refund it later on. Amtrak doesn't seem to be running trains/buses from Seattle to Vancouver at the moment (as far as I can tell from a quick search) but you could get a WestJet ticket from LAX to YVR with free cancellation if you book before the end of the month. As a last resort, all US airlines allow free cancellation within 24 hours of purchase, so you could buy a ticket at the airport, show it to the airline/CBP and then cancel it after picking up your luggage in the US.

Can I ask for a paper I-94W form (in addition to a digital I-94W) at US Immigration (which is done before departure in Vancouver), so that I could give that I-94W to the Canadian official if I leave US to Canada by foot (instead of by a train/bus)?

No, but this is not required as Canada shares immigration data with the US since 2016. A few minutes after passing the immigration checkpoint in Canada you can log onto the I-94 website where you will see your exit duly recorded. I've done this around 15 times and it works like a charm. Absolutely nothing to worry about at the Canadian land border, only the Mexican border is somewhat problematic for tourists as of today.

If, (in the future) I travel on a return ticket (flight, train or bus: Amtrak/Greyhound - not a tiny shuttle company), can the US immigration official see the return leg of my trip on their system - is that commonly shared by commercial airlines, Amtrak and Greyhound?

Maybe yes but I wouldn't count on it. Better to carry the PDF in your phone or print your ticket out in advance.

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