My bikes all came with thru-axles that don’t need an allen key (they have a QR style lever). I’m sure you can buy those on ebay etc.
Regarding caliper alignment - I do swap the wheels on my cx bikes quite often. They sometimes rub a bit, but in a race I don’t actually notice. It might be different on the road, but even though it is annoying and might costs you a few W, it’s definitively still ridable.