Does the air fry mode need a separate basket?

No. It uses the oven's own racks and a dedicated air fry setting, so you cook on the oven racks rather than in a countertop basket.

Can both ovens use convection at the same time?

Yes. Both cavities are convection ovens, so you can run them together, for example roasting in one and baking in the other.

What cabinet cutout does it need?

It is a 30-inch double wall oven about 29.75 inches wide, 50.81 inches tall and 27.125 inches deep, so the cabinet opening must match a standard 30-inch double oven cutout with enough depth for the body.

Yes. Both ovens have a self-clean cycle, which burns off food residue at high heat.

How does it compare with a single wall oven plus a countertop air fryer?

It gives you two full ovens and air frying in one built-in unit, saving counter space, but it needs a double-oven cutout and costs more than a single oven plus a small appliance.