This answer attempts to frame a systematic description of the tensorial curvature invariants that arise from algebraic manipulation of $g$ and $Rm$ in terms of representation theory. Among other things, this viewpoint explains fully the exceptional behavior of the decomposition of curvature in lower dimensions.
The symmetries of the curvature tensor $Rm$ of a metric $g$ on a smooth manifold $M$ are generated by the following identities.
- $Rm(W, X, Y, Z) = -Rm(X, W, Y, Z)$ (this follows from the usual definition of $Rm$),
- $Rm(W, X, Y, Z) = -Rm(W, X, Z, Y)$ (this follows from torsion-freeness of the Levi-Civita connection $\nabla$), and
- $\mathfrak{S}_{X, Y, Z}[Rm(W, X, Y, Z)] = 0$, where $\mathfrak{S}_{X, Y, Z}[\cdot]$ denotes the sum over cyclic permutations of $X, Y, Z$ (this is the \textbf{First Bianchi Identity}).
Now, fix a point $p \in M$ and denote $\Bbb V := T_p M$. The above symmetries together imply that $Rm$ takes values in the kernel $$\mathsf C := \ker B$$ of the map $$\textstyle B : \bigodot^2 \bigwedge^2 \Bbb V^* \to \bigwedge^4 \Bbb V^*$$ that applies the symmetrization $\mathfrak{S}_{X, Y, Z}$ appearing above to the last three indices. This is an irreducible representation of $GL(\Bbb V)$ of (using the Weyl dimension formula) dimension $\frac{1}{12}(n - 1) n^2 (n + 1)$, $n := \dim \Bbb V = \dim M$.
The stabilizer in $GL(\Bbb V)$ of the metric $g_p$ on $\Bbb V$ is a subgroup $SO(\Bbb V) \cong SO(n)$, and we can decompose $\mathsf C$ as an $SO(n)$-module. This is a typical branching problem, and this working out this particular decomposition amounts to working out the various ways $g_p$ can be combined invariantly with an element of $\mathsf C$. Forming the essentially unique trace of $\mathsf{C} \subseteq \bigodot^2 \bigwedge^2 \Bbb V^*$ is the $SO(n)$-invariant map $\operatorname{tr}_1 : \bigodot^2 \bigwedge^2 \Bbb V^* \to \bigodot^2 \Bbb V^*$. The kernel of this map is an $SO(n)$-module $\color{#0000df}{\mathsf{W}}$. Likewise, we have an $SO(n)$-invariant trace $\operatorname{tr}_2 : \bigodot^2 \Bbb V^* \to \color{#df0000}{\Bbb R}$, and the kernel of this map is an $O(n)$-module $\color{#009f00}{\bigodot^2_{\circ} \Bbb V^*}$.
In all dimensions $n \geq 5$, we have $$\textstyle{\mathsf{C} \cong \color{#0000df}{\mathsf{W}} \oplus \color{#009f00}{\bigodot^2_{\circ} \Bbb V^*} \oplus \color{#df0000}{\Bbb R}},$$ and all of these representations are irreducible. In terms of highest weights as $SO(n)$-representations, $$\textstyle{\color{#0000df}{\mathsf{W}} = \color{#0000df}{[0,2,0,\ldots,0]}, \qquad \color{#009f00}{\mathsf{\bigodot^2_{\circ} \Bbb V^*}} = \color{#009f00}{[2,0,0,\ldots,0]}, \qquad \color{#df0000}{\Bbb R} = \color{#df0000}{[0, 0, 0, \ldots, 0]}} ,$$ and these modules have the dimensions indicated in
$$\frac{1}{12}(n - 1) n^2 (n + 1) =
\color{#0000df}{\underbrace{\left[\tfrac{1}{12}(n - 3) n (n + 1) (n + 2)\right]}_{\dim \mathsf W}}
+ \color{#009f00}{\underbrace{\left[\tfrac{1}{2} (n - 1) (n + 2)\right]}_{\bigodot^2_{\circ} \Bbb V^*}}
+ \color{#df0000}{\underbrace{1}_{\dim \Bbb R}} .$$
- The projection of $Rm_p \in \textsf{C}$ to $\color{#0000df}{\mathsf{W}}$ is the Weyl curvature $\color{#0000df}{W}$ at $p$, the totally tracefree part of $Rm_p$. Replacing a Riemannian metric $g$ with the conformal metric $\hat{g} := e^{2 \Omega} g$ gives a metric with Weyl curvature $\color{#0000df}{\hat{W}} = e^{2 \Omega} \color{#0000df}{W}$, so we say that $\color{#0000df}{W}$ is a covariant of the conformal class of $g$. The condition $\color{#0000df}{W} = 0$ is conformal flatness of $g$.
- The projection of $Rm_p$ to $\color{#009f00}{\bigodot^2_{\circ} \Bbb V^*}$ is the tracefree Ricci tensor $\color{#009f00}{Ric_{\circ}}$ of $g$ at $p$. The condition $\color{#009f00}{Ric_{\circ}} = 0$ is just the condition that $g$ is Einstein.
- The projection of $Rm_p$ to $\color{#df0000}{\Bbb R}$ is the Ricci scalar $\color{#df0000}{R}$ of $g$ at $p$. The condition $\color{#df0000}{R} = 0$ is scalar-flatness of $g$.
In dimension $4$, all of the general case still applies, except for the fact that $\color{#0000df}{\mathsf{W}}$ is no longer irreducible: The ($SO(4)$-invariant) Hodge star operator induces a map $\ast : \color{#0000df}{\mathsf{W}} \to \color{#0000df}{\mathsf{W}}$ whose square is the identity, so $\color{#0000df}{\mathsf{W}}$ decomposes as a direct sum $\color{#007f7f}{\mathsf{W}}_+ \oplus \color{#007f7f}{\mathsf{W}}_-$ of the $(\pm 1)$-eigenspaces of $\ast$. The vanishing of the projections $\color{#007f7f}{W_{\pm}}$ are respectively the conditions of anti-self-duality and self-duality of the metric (since these depend only on the Weyl curvature, they are actually features of the underlying conformal structure). The decomposition into irreducible $SO(4)$-modules is
$$\textstyle{\mathsf{C} \cong \color{#007f7f}{\mathsf{W}_+} \oplus \color{#007f7f}{\mathsf{W}_-} \oplus \color{#009f00}{\bigodot^2_{\circ} \Bbb V^*} \oplus \color{#df0000}{\Bbb R}} .$$
In highest-weight notation,
$$
\color{#007f7f}{\mathsf{W}_+} = \color{#007f7f}{[4] \otimes [0]}, \qquad \color{#007f7f}{\mathsf{W}_-} = \color{#007f7f}{[0] \otimes [4]}, \qquad
\textstyle{\color{#009f00}{\bigodot^2_{\circ} \Bbb V^*} = \color{#009f00}{[2] \otimes [2]}} , \qquad
\color{#df0000}{\Bbb R} = \color{#df0000}{[0] \otimes [0]} .$$
In particular, $\color{#007f7f}{\mathsf{W}_+}$ and $\color{#007f7f}{\mathsf{W}_-}$ can be viewed as binary quartic forms respectively on the $2$-dimensional spin representations $\mathsf{S}_{+} = [1] \otimes [0]$ and $\mathsf{S}_- = [0] \otimes [1]$ of $SO(4)$, which gives rise to the Petrov classification of spacetimes in relativity. The respective dimensions are
$20 = \color{#007f7f}{5} + \color{#007f7f}{5} + \color{#009f00}{9} + \color{#df0000}{1}$.
In dimension $3$, the curvature symmetries force $\color{#0000df}{\mathsf{W}}$ to be trivial, but the other two modules remain intact. (So, $\color{#0000df}{W} = 0$, but in this dimension conformal flatness is governed by another tensor.) The decomposition into irreducible $SO(3)$-modules is thus
$$\textstyle{\mathsf{C} \cong \color{#009f00}{\bigodot^2_{\circ} \Bbb V^*} \oplus \color{#df0000}{\Bbb R}},$$ and in particular, if $g$ is Einstein, it also has constant sectional curvature.
In highest-weight notation,
$$
\textstyle{\color{#009f00}{\bigodot^2_{\circ} \Bbb V^*} = \color{#009f00}{[4]}}, \qquad
\color{#df0000}{\Bbb R} = \color{#df0000}{[0]},
$$
and the respective dimensions are $6 = \color{#009f00}{5} + \color{#df0000}{1}$.
Finally, in dimension $2$, $\color{#009f00}{\bigodot^2_{\circ} \Bbb V^*}$ is also trivial, so $\mathsf{C} \cong \color{#df0000}{\Bbb R}$, that is, the curvature is completely by the Ricci scalar $\color{#df0000}{R}$, which in this case is twice the Gaussian curvature $K$.
These invariants account for all of the invariants one can produce by pulling apart $Rm$, but of course one can produce new tensors by taking particular combinations of them. Some important ones, including some mentioned in other answers, are combinations of $\color{#009f00}{Ric_{\circ}}$ and $\color{#df0000}{R}$, giving rise to distinguished tensors in $\bigodot^2 \Bbb V^*$:
- The Ricci tensor, which is of fundamental importance to Riemannian geometry, is $$Ric = \operatorname{tr}_1(Rm) = \color{#009f00}{Ric_{\circ}} + \frac{1}{n} \color{#df0000}{R} g.$$
- The Einstein tensor, which arises in relativity, is $$G = \color{#009f00}{Ric_{\circ}} - \frac{n - 2}{2 n} \color{#df0000}{R} g .$$
- The (conformal) Schouten tensor, which appears in conformal geometry, is (for $n > 2$) $$P = \frac{1}{n - 2} \color{#009f00}{Ric_{\circ}} + \frac{1}{2 (n - 1) n} \color{#df0000}{R} g .$$
The vanishing of any of these three tensors is equivalent to vanishing of the other two and is equivalent to $g$ being Ricci-flat.
Remark One can construct many more interesting, new curvature invariants by allowing for derivatives of curvature and its subsidiary invariants. To name two:
- The vanishing of the derivative $\nabla Rm$ of curvature is the condition that $g$ be locally symmetric.
- Skew-symmetrizing $\nabla P$ on the derivative index and one of the other two indices gives the Cotton tensor $\color{#9f009f}{C}$, which satisfies $(3 - n) \color{#9f009f}{C} = \operatorname{div} \color{#0000df}{W}$. In dimension $3$, vanishing of $\color{#9f009f}{C}$ is equivalent to conformal flatness. In dimension $n \geq 4$, vanishing of $\color{#0000df}{W}$ implies vanishing of $\color{#9f009f}{C}$ but not conversely, giving rise to a weaker variation of conformal flatness called Cotton-flatness.
$\textbf{Question 1:}$ Yes, it is correct.
$\textbf{Question 2:}$ Yes, there is. Even though your proof is correct, it relies more on global properties than it needs to. The trick here is to do things locally, using coordinates.
Let $F\colon M\to N$ be a smooth map and $\left<\cdot\,,\cdot\right>$ be a metric on $N$. You can always define $\left<\cdot\,,\cdot\right>'$ on $M$ the way you did. Then $\left<\cdot\,,\cdot\right>'$ is easily seen to be bilinear and symmetric at each point (please tell me if this is not clear) and, in fact, we can show that it is also smooth (i.e., $\left<X,Y\right>'\colon N\to \mathbb{R}$ is smooth for any $X,Y\in\mathfrak{X}(N)$) without any further assumptions on $F$. After that, all that's left for it to be a metric is to be non-degenerate at each point, which you get by assuming that $(F_*)_p$ is injective at each point $p\in M$ (i.e., assuming $F$ is an immersion), as was already pointed out in the comments.
So let $U\subset M$ be a coordinate neighborhood in $M$ and $V\subset N$ a coordinate neighborhood in $N$ containing $F(U)$, with $\phi=(x^1,\ldots, x^m): U\to\mathbb{R}^m$ and $\psi=(y^1,\ldots, y^n):U\to\mathbb{R}^n$ the corresponding charts. Then for any vector field $\tilde{X}\in\mathfrak{X}(N)$, we have, for $q\in V$
$$\tilde{X}_q=\sum_{i=1}^n\tilde{X}^i\left(q\right)\left(\frac{\partial}{\partial y^i}\right)_q$$
for smooth functions $\tilde{X}^i:V\to\mathbb{R}$.
Furthermore, since the $\frac{\partial}{\partial y^i}$'s form a basis for the tangent space at each point and $\left<\cdot\,,\cdot\right>$ is bilinear, you have functions $g_{ij}:U\to\mathbb{R}$,with $1\leq i,j\leq n$, such that, for any $\tilde{X},\tilde{Y}\in\mathfrak{X}(N)$ and $q\in V$
$$\left<\tilde{X},\tilde{Y}\right>(q)=\sum_{i,j=1}^ng_{ij}(q)\tilde{X}^i(q)\tilde{Y}^j(q)$$
By assumption, this is smooth for every pair of vector fields, so the $g_{ij}$'s must be smooth.
Also, I'm not going to show this, as it's a basic fact of differential geometry (and an expected one too since $F_*$ is supposed to be a generalized derivative), but, for any vector field $X\in\mathfrak{X}(M)$ with
$$X_p=\sum_{i=1}^mX^i(p)\left(\frac{\partial}{\partial x^i}\right)_p$$
you have
$$(F_*)_p(X_p)=\sum_{i=1}^m\sum_{j=1}^nX^i(p)\frac{\partial \tilde{F}^j}{\partial x^i}(p)\left(\frac{\partial}{\partial y^j}\right)_{f(p)}$$
where $\tilde{F}^j=y^j\circ F\circ \phi^{-1}:U\to \mathbb{R}$ for each $1\leq j\leq n$. Then, if $Y\in\mathfrak{X}(M)$ with
$$Y_p=\sum_{i=1}^mY^i(p)\left(\frac{\partial}{\partial x^i}\right)_p$$
you have
$$\left<X,Y\right>'(p)=\sum_{i,j=1}^n\sum_{k,l=1}^mg_{ij}(f(p))X^k(p)\frac{\partial \tilde{F}^i}{\partial x^k}(p)Y^l(p)\frac{\partial \tilde{F}^j}{\partial x^l}(p)$$
which is smooth in $p$ since it's just a sum of products of smooth functions. Since the coordinate neighborhoods are arbitrary, we conclude that $\left<\cdot\,,\cdot\right>'$ is smooth.
More generally, a multilinear map $\omega_q:\left(T_qN\right)^k\to\mathbb{R}$, for each $q\in N$, that varies smoothly with $q$, in the sense that $\omega(X_1,\ldots,X_k):N\to\mathbb{R}$ is smooth for any $X_1,\ldots,X_k\in\mathfrak{X}(N)$, is called a $k$-covariant tensor field and you can show, similarly to what I did above, that $\omega'_p:\left(T_pM\right)^k\to\mathbb{R}$ given by
$$\omega'_p(v_1,\ldots,v_k)=\omega_{f(p)}\left(\left(F_*\right)_pv_1,\ldots,\left(F_*\right)_pv_k\right)$$
varies smoothly with $p$. $\omega'$ is called the pullback of $\omega$ and is usually written $F^*\omega$. What this shows is that, unlike the pushforward, the pullback is always smooth and well-defined without any further assumptions on $F$, other than being smooth.
Best Answer
No, $\nabla_{\nabla_Y Z}W = \nabla_Y(\nabla_Z W)$ is not true in general.
All Tu means is that $\langle R(Y,Z)X,W \rangle$ in (22.5) will cancel with $\langle R(Y,Z)W,X \rangle$ in (22.6), due to the skew-symmetry (Prop 12.5).