Physical=Product of the brain. Non physical=Non product of the brain (existing outside). Consciousness clearly doesn't have physical properties. If consciousness was physical then we would know by now where it is located but we don't. We know what our brain, heart, limbs, and muscles are there for, we can see them, but we can't see consciousness. I believe consciousness is a fundamental property of the universe and is neither physical nor mental.
There are many people out there who remember things before they were born. It's hard to describe what they experience though, someone described it as "talking without talking, knowing without knowing", like there was no structure. Then there also kids who remember past lives but I'm not fond of reincarnation on this planet so I hope that's not true.
Ego isn't consciousness though, is it? Ego is how you identify yourself, it's self concept, an illusion; while consciousness always is. Like you say, everyone's ego is slowly created after birth, but consciousness is already there since the very beginning. Babies are conscious from the get-go (because if they aren't conscious then they wouldn't be able to cry, laugh and smile, but they can, so that tells us that babies are conscious) and their ego begins to develop during the first three years of their life.
That depends from person to person. When I was 3, I was conscious enough and self aware enough, to be able to run alone from the Kindergarten I was in, back to home. I was also self aware enough to pay attention to the cars and traffic lights while I was crossing the street. It's funny because I suffer from memory issues when it comes to things that happend just a day ago, but when it comes to things that happend years and even decades ago, I still have memories from that time (and clear memories at that, like I remember the exact way I went and I why I did it).
As far as I can tell, soul and consciousness are one and the same. "Soul" is just a old way of referring to consciousness. I don't think we will ever find an answer to what consciousness is. It's something similiar to time, we can't see it or touch it, it's just there and always will be. As for our ego however, I assume that part is connected to the brain. We are born conscious but our ego (sense of me) is slowly created by the physical development of the brain. Then again there are people who were clinically dead with no brain activity but yet retained their sense of self during their "out of body experience" so I don't know how that's possible. Maybe the ego isn't an illusion but the brain is? Reality is confusing.
We dream every night. The brain is active all night long. Brain activity in the forebrain and midbrain is particularly intense during rapid eye movement (REM) sleep, which is when we dream. Not everyone remembers what they dream, but we always dream every night. Having no memories of a dream does not mean that you didn't have that dream, you just don't remember it, that's why the "don't remember before birth therefore it was nothing" statement is usually a bad argument because that's like saying that something that happend to you a few days ago never happend just because you don't remember it anymore.