clarry: It appears that I was born a fighter. If there was a choice to be made, I must've missed it. I did not allocate stats for a fighter.
Yep, no class selection in the beginning of the game.
clarry: Now I found an NPC who is willing to train my weapon masteries. The dialogue with him leaves me a little puzzled. He's saying that I should commit to the class and abandon any other. Does that mean I'll be permanently stuck a fighter should I train with him? Or can I dual/multi at some point later on? What if I wanted to be a pure non-fighter, is that possible at all?
To change a class you need to find a trainer, which will teach you. It won't lock the other classes, if you spend your proficiency points while being a fighter. There's no dual and multi classes in PT. You can freely change classes when you find the trainers, but Nameless One is always a single class character.
clarry: If I'm going to change classes later on, does that mean I will lose whatever I've invested into the fighter class? The NPC mentioned something like "talent points", which I would assume are like the skill points you get to put into weapon proficiencies in Baldur's Gate when you level up. Is there a downside to "spending" them with the trainer? Can I "save up" and spend them on a different class later on?
You'll loose the invested weapon proficiency points (which will return to you if you switch back to fighter). The increased HP gained from a higher dice on level up will stay. Remember however that until you reach in your new class a higher level than the level you've reached in fighter class, you'll only gain 1 additional HP per level. When you exceed the fighter level, you'll gain the standard class dice HP plus Constitution bonus.