I don't know much about machine learning but I'll try to answer the questions I can.
1. It is usually better to go with fewer cores and a higher clock, just don't go below a quad-core. Some applications can only utilize one thread at a time so the extra clock speed will do you a lot more good than 2 extra cores. However I do not know much about machine learning so more cores and a slower clock might be worth it, I would do some research.
2. Your GPU will probably be fine, many people SLI graphics cards with consumer boards (Z170) which works just fine, SLI will always have some efficiency loss however so don't count on 2x performance, more like 1.6-1.8x.
3. If you want to SLI, don't buy a 1060, it is not supported. Keep in mind that a single powerful GPU is always better than two weaker GPUs so get the best single GPU you can afford now (you can still SLI later if you want to). Also, wait for another couple days or so to see how AMD's new graphics card performs. Might be worth a buy and worse case scenario will at least cause Nvidea prices to drop a little.