Question 1: What is a Nuzlocke?
A Nuzlocke is not something you have to buy. It is a set of rules you impose on yourself to make playing a Pokémon game more challenging. The two core rules are:
1 - You can only catch the first Pokémon you see in an area (Route 1, Viridian Forest, etc.)
2 - If a Pokémon faints, you must put it in the PC and never use it ever again. (It's considered 'dead')
There are other optional clauses too, like not allowing healing items or not allowing duplicate species of Pokémon. But the above ones are the main rules. Also nicknaming all your Pokémon :)
Question 2: How do I battle Wallace again?
You can't rematch Gym leaders in ORAS.
Question 3: How do I get a Mega Milotic?
You can't, it doesn't exist. I haven't watched a video, but I'm going to assume that TyranitarTube was playing afan-made hack or emulator of Omega Ruby, because not only does M-Milotic not exist, Wallace is also not the Champion — Steven Stone is. Also he was doing a randomizer, which is exclusive to fan-made games.