I've got 3.5 and 3.9.
3.5 came boxed with a printed installation manual and, optionally, ROM chips.
3.9 came in just a standard jewel case, though I have seen box art for it online somewhere. A box may have been planned, and then canceled to cut costs. 3.9 has an installation manual too.
The OS manuals are in HTML on the CD. They're nearly identical to the Commodore books.
As for the FAQ, I think it's basically just telling you how to remount drives that are on the GVPscsi ports or the Xsurf ports. Normally, the drives are mounted from these files in SYS:Expansion during the standard startup-sequence. Emergency booting, they won't be, so they need to be copied to the Emergency Disk's Expansion drawer.
You don't need to worry about it unless you have drives on the Xsurf or GVP ports.