If you care about WoL I heard whatever you unlock there will be available for the smash mode too. I didn't backwards and did smash battles against CPU with 2x throw rate and one stock, and found out that I had to unlock them in the adventure mode anyway, so if you are planning on conquer that mode, it might be better to do that. Also if you want to unlock Link early enough I'll just give you the same hint a friend gave me: "choose right".
also, I haven't really had bad lag lately, so I guess if you have a decent internet and connect with someone with a decent internet you will likely be able to have a battle without freezing many frames.