Electronic – this component and what is it used for

The part is connected to pin 5 of the USB connector, which is the 5V supply from USB. It is most likely to be a fuse: either a PTC resetable fuse or a non-resettable fuse. Its marking are consistent with a SMT fuse, although to understand the marking you would need to know the manufacturer of the fuse. It is unlikely to be an inductor or ferrite bead, since those parts are usually unmarked.

After the fuse is a diode of some sort connected between the 5V supply and Ground. This is probably a TVS diode to protect the device against voltage transients.

If you follow the PCB trace it then passes through part which is probably a ferrite bead which is used to reduce EMI emissions. SMT ferrite beads are usually unmarked.

The first is a ferrite rod antenna for MW/LW frequencies.

The second seems to be a variable capacitor: as you turn the knob, the plates will overlap more or less, which changes capacitance. Between the plates is a dielectric, which can be air or plastic sheets.

The third is either a variable inductor or a transformer with variable coupling (variable coupled inductors): turning the screw in the center moves a ferrite core inside a coil. More ferrite inside the coil increases the inductance/coupling. These were most likely adjusted at the factory, so if you want the radio to still work it is best not to adjust them...

I'd like to know why the connection to the speaker is made with a "coil"

It's wire wrapping. Quite fast and convenient to apply during manufacturing, and very reliable. Here's a wire wrap pistol. These days it seems to have been displaced by pre-assembled wiring harnesses with pre-crimped connectors (video because robots), but it was used pretty much everywhere a few decades ago (and is still used in some applications).