OK, I am confused. There are no associations to manage since I don't have any actual scenes set up in any of my Z-Wave devices.
It has to be association with the Indigo Z-Wave interface
Is that why you drew a red circle around the Indigo Z-Wave interface in your example? Seems that should exist by default.
Yes you'll have to associated it with each button group 1-4 They don't pre-exist
Better. Not sure what the difference between a button command and scene command is and when you would use one over the other.
You can use either, they both do the same thing. Its up to you. See the my description to see how the groups and scenes relate to each other.
Am I unusual in that I don't actually set up scenes in the Z-Wave hardware?
You'll have to set up scenes if you want the VRCZ4 to send the correct commands to Indigo to trigger the event. Follow the instructions to set up the scenes. Just setup Indigo is the only associated device.