Playing as Crash vs Coco is purely a cosmetic difference. While the animations differ, the actual moves and movement are the same.
From this list of version differences:
Coco is now fully playable in all three games. She controls just like Crash, but she has her own unique animations.
From this thread:
Are there any gameplay differences between the 2 or ...
To access Story Accent in Crash Bandicoot: You stand on the purple dot and press "select" to start the level, as with any other level. You can do this at any point in the game.
To access Future Tense in Crash Bandicoot 3: move to the lit platform between the bridges
After posting my question, I wondered if reloading a save file would reset the extra lives in Orient Express, since I couldn't recall an easier level that had that many extra lives laying around. It did.
That is, I followed these steps:
Load up the game
Run through Orient Express (stage 3, world 1)
Save my file
Load that same file
Repeat steps 2-4
It's a cosmetic choice - Crash and Coco share the same physics. While some levels specify that you have to play with either Crash or Coco, you don't have to play a level with both Coco and Crash to be able to get everything in it.
After you start the game, you land on screen where you can choose freely any game of trilogy.
I barely started first one but it let me to play second or third game. Tested on Steam version but I expect all versions to be similar.
You most likely bought a game key for another region and the region lock prevents you from activating it. Make sure to check if the website you bought it from indicates any sort of region lock for this key.
More info on the different region definitions can be found here.
Unfortunately, it doesn't look like it's possible. I have yet to find a way to view these, and it appears that others (1, 2) have yet to find this information as well, such as in this thread:
No, it's not possible. Write it down on a piece of paper or try to remember it. You can only access Eggipus Rex from the gem path in Dino Might when you're near the ...
When Crash dies he typically utters single-word phrases (see below) or makes unintelligible sounds.
According to WikiFur in discussing Crash Bandicoot's speech:
He does not speak much, but his style of talking consists of gibberish, which the other characters can understand, and simple words like "Coco" and "Pancakes", and he says "Whoa!" in the games ...