Will the NSClient automatically check all the services which are "Automatically started" and are running when you install the NSClient on a Windows Server?
Depends on how you setup the service on Nagios XI.
Here are some example commands:
Is the NSClient smart enough to see a new service when, for example, the Role DNS server is installed on a server and will I automatically added to the list of services that are monitored?
Depends once again. If you setup a service in Nagios to query all services (don't define any in your command) then yes it will. Otherwise you'll have to add that service to your existing Nagios XI service or create a new service for it.
Will the NSClient see all the local disks of Windows Server when you install it on a Windows Server and add them automatically in the list of monitored disks?
If for some reason a disk will be removed or be added, will it automatically be removed or added to the list of monitored disks?
Depends on how you setup the service on Nagios XI. If you don't define any disk then NSClient will report on all. This is something I strongly urge you not to do. What happens if a disk "disappears". Because you are checking all disks, NSClient or Nagios have no idea what disks were there before.