So as topic,

What to max first, levetation or hex bane/ purge?

Neither.

Lvl 20 demonic mastery after +skills but before BC

Max blood oath

Dump any remaining pts in consume

This 100%

The damage taken goes to demon on blood oath- I told my friend that this works only on physical damage because the wording is so similar to damage taken goes to mana. Was I correct?

No it works with all dmg types, but if you want to know how much % you can't look at the tooltip with +skills.
Only hard points count for the redirected dmg...

lvl 1 = 5%
+2% per lvl, up to 43% at 20 hard points

Didnt know it only counts hard points