I've installed the Image using g4u (ghost for unix; 
http://www.unixlibre.com.ar/archivos/m0n0wall_network_install.html ) 
which is an equivalent to the standard install method:
$ gzcat generic-pc-xxx.img | dd of=/dev/rad[n] bs=16k

Do you need to keep all the settings put in comments (<!-- -->) in the 
default config.xml, or can I delete them without loosing any features?

I didn't replace the default config.xml with a complete different one, 
there were only a few changes:

diff stable/system/conf.default/config.xml 
devel/system/conf.default/config.xml
8c8
<         <hostname>m0n0wall</hostname>
---
>          <hostname>router</hostname>
18c18
<             <protocol>http</protocol>
---
>              <protocol>https</protocol>
54c54
<             <ipaddr>192.168.1.1</ipaddr>
---
>              <ipaddr>192.168.205.1</ipaddr>
182,183c182,183
<             <from>192.168.1.100</from>
<             <to>192.168.1.199</to>
---
>              <from>192.168.205.199</from>
>              <to>192.168.205.200</to>