Oh man I'd love it if that worked.
So yeah does anyone know if there's any reason why I shouldn't just grind and grind?
And also how do I learn techniques? Am I good to just attack with weapons or use magic?
You don't want to grind and grind against crappy, weak enemies for hours on end if you happen to encounter an area full of them because they're not going to give you substantive proficiency or HP increases. The enemies that populate in a given area are tied (with some apparent randomization as to the exact thresholds) to the number of battles you've fought, which means that if you balloon your total encounters fighting weak stuff theoretically you may wind up starting to encounter enemies that are disproportionately difficult...who will then give you more frequent increases to your HP and proficiencies because they're stronger than you if you can still manage to kill them. Spending some time training against enemies that are actually challenging can be extremely useful, on the other hand.
The "actively try to avoid enemies" advice is a holdover from Romancing SaGa Minstrel Song, where increasing your battle rank (the equivalent of total battle count here) could lock you out of quests in that, which it can't here. Basically, you probably shouldn't grind against weaklings but even that won't likely leave you in a position where you won't be able to progress unless you're unrealistically obsessive about it.
Skills are sparked at random while using a weapon, enemy strength and the type of enemy you're fighting factor in, but trying to game the system gets you into the kind of awkward powergaming that tends to actively ruin the SaGa series unless you're on like your fifth playthrough and are actively deconstructing the game. Just keep using the weapon you want your character to learn skills for and, provided it's a weapon they're good with (they tell you when you talk to them to recruit them), you'll learn skills eventually. The backstage mechanics of it aren't something you need to know for general play.
Magic is learned by building the magic research center for 1m crowns after your controlled emperor has 25+ MP (which you'll get by using magic). The spells you can learn increase as your ranks increase, and this includes hybrid spells that combine elements.
Finale Fireworker It's not a bad time to restart, but do note that you shouldn't be too concerned about missing stuff, least of all classes. A completionist game is mechanically impossible because some things are mutually exclusive, and individual classes don't actually mean much. Thieves (one of the several missable classes), for instance, are a class that's extremely varied in the weapons they can use (some are martial artists, some marksmen, some swordsmen, etc) but will mostly just get you a slightly different stat spread than anyone else who can use those weapons. Individual characters are kind of a disposable resource, in a sense, which can take some getting used to.