For (a), you've started well - taking a separable orthonormal basis and showing that the sum over all those expectations is non-negative. And, yes, you're right to worry that all those diagonal elements could be 0 given your starting point. So, let's assume they are all 0. But we're told that $W\neq 0$. So that would imply there's some off-diagonal element that's non-zero.
There are a couple of cases to deal with. Firstly, assume there's a non-zero element
$$
\langle a_1b|W|a_2b\rangle=re^{i\theta}.
$$
In this case, choose a new orthonormal basis that includes $|v\rangle=(|a_1\rangle+e^{-i\theta}|a_2\rangle)|b\rangle/\sqrt{2}$. Now we have $\langle v|W|v\rangle=r$ (don't forget that $W$ is Hermitian). So the diagonal elements cannot all be 0 unless $W=0$.
The other case is that there are no such choices of $a_1,a_2,b$. This must bean that there's a choice such that
$$
\langle a_1b_1|W|a_2b_2\rangle=re^{i\theta}.
$$
Now you can pick a new basis including the element
$$
|v\rangle=(|a_1\rangle+e^{-i\theta}|a_2\rangle)(|b_1\rangle+|b_2\rangle)/2.
$$
Again, evaluate $\langle v|W|v\rangle=r$. There are lots of cross terms which are 0 by assumption. The same conclusion holds.
I'm still thinking about the second part...