A few thoughts-
As far as heat loss, you would benefit the most by getting the inside of your rim joists sealed up with spray foam.
Moisture can be a problem when building against a foundation wall. Steel studs can rust, wood and insulation can harbor mold growth. To prevent this, do not use any type of vapor barrier below grade as foundation walls can only dry to the INSIDE of the building.
The inside of the foundation wall is best insulated with rigid foam board sealed with tape or mastic at all seams. (fiberglass insulation is not recommended on a foundation wall) The frame wall can then built to the inside of the rigid foam.
It looks like your pipes might only be 1/2". If so, think about switching to 3/4" coming off the meter to improve volume through the softener and to for the hose bib. Then you won't have to tear into the wall if you need to upgrade later.
Steel studs drill like butter with the proper bits. All holes must have proper grommets installed where pipes and wires pass though holes.
Drywall normally starts with the ceiling first. You cannot close off the existing electrical boxes in the ceiling or walls, they must remain accessible. You can use a a mud ring to extend the box through the drywall along with a proper cover or put an access plate in the drywall.
Personally, knowing it is going to be a utility room, I would keep the piping and valves outside the finished wall.