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Let $X$ be a Dedekind-finite infinite set of reals, inheriting the metric from $\mathbb{R}.$ This is a complete metric space since all Cauchy sequences are eventually constant. $X$ is not a closed set of reals so it is easy to find decreasing $E_n$ closed in $X$ with empty intersection.
"In particular, no finite, nonempty, symmetric difference of these pieces is measurable." The pieces themselves are only a set of cardinality $\mathfrak{c}$ and there are many linear dependencies among the $2^{\mathfrak{c}}$ unions of them. That being said, you're right the dimension is $2^{\mathfrak{c}},$ since cardinality equals dimension in infinite vector spaces over a finite field.
This is provable in $Z,$ even in second-order arithmetic. The principle $ATR_0$ is equivalent to every uncountable closed set in a Polish space containing a perfect subset.
Re the last paragraph: this sounds like an approach to resolving the plausible conjecture. If $V \neq W$ implies that countable choice fails in some extension, that combined with your other answer would prove the conjecture.
"Almost well-orderable" is a nice notion! The Bernstein set result I told you about can be phrased as "if $\mathbb{R}$ is almost well-orderable, then there is a Bernstein set."