Let's do this step by step. In order to show that $L^2$ is meager in $L^1$, we need to show that $L^2$ is a countable union of nowhere dense subsets of $L^1$ i.e. $L^2 = \cup_{n = 1}^{\infty} U_n$. So, in particular we need to find sets $U_n$ s.t. their countable union covers $L^2$. That is something that can be accomplished by any of the above sets:
Since $L^2$ is a normed vector space, a standard choice for such a cover is the open balls around some point, but we want nowhere dense sets in $L^2$, so we choose the sets $B_n(f)$ for some fixed $f \in L^2$ (in your example this $f$ was chosen to be $0$). This covers $L^2$ since for any $g \in L^2$ we have $\Vert f - g \Vert_1 < n$ for some $n \in \mathbb{N}$. Why? Because $f-g \in L^1$ and thus has finite 1-norm.
Here we can also see that is is irrelevant whether we consider $< n$ or $\leq n$. Cleary, if $\Vert f - g \Vert_1 < n$, then $\Vert f - g \Vert_1 \leq n$ and if $\Vert f - g \Vert_1 \leq n$, then $\Vert f - g \Vert_1 < n+1$.
It is also irrelevant if we choose the fixed $f \in L^2$ or $f \in L^1$, since in both cases $f-g \in L^1$ and thus $\Vert f-g \Vert_1 < \infty$ and thus there exists some $n \in \mathbb{N}$ s.t. $\Vert f-g \Vert_1 \leq n$.
It is also irrelevant whether we require $\Vert f-g \Vert_1 < n$ or $\Vert f-g \Vert_1^2 \leq n$.
It is also irrellevant whether we choose $\{g \in L^2 : \Vert f - g \Vert < n\}$ or $\{g \in L^1 : \Vert f - g \Vert < n\}$ since $\{g \in L^2 : \Vert f - g \Vert < n\} \subseteq \{g \in L^1 : \Vert f - g \Vert < n\}$ and $\{g \in L^2 : \Vert f - g \Vert < n\}$ is already sufficient to cover $L^2$.
The point is, all of the above unions cover $L^2$.
Regarding your last question, yes it is preferable to consider closed sets to begin with. However, $\overline{\{ f \in L^1 \vert \Vert f \Vert_1 < n\}} = \{ f \in L^1 \vert \Vert f \Vert_1 \leq n\}$ and recall that we want to show that all the $U_n$ are nowhere dense. So if one is nowhere dense then so is the other.