In Yakuza 0, you make choices during the dialogues of some side quests and also some main quests, and you receive different dialogues back from the other NPCs in response to your specific choices, and also you get better items rewards at the end of certain side quests and main quests depending on how "good" or "bad" your dialogue choices were.

Most of the items are not a big deal, so 99%+ of the time it doesn't matter if you get a "bad one."

Except for in one example, with the Michael Jackson parody character, you have to choose to receive either the white box or the black box. That's the only item-related choice that is a big deal. You need to choose the black box on that one, otherwise the game screws you over by making you unable to get an essential item (which is in inside that black box).

Story-wise, the choices don't affect anything, other than changing the text of the conversations somewhat. But the dialogues don't really change the stories that much, so if you "choose wrong," it's not a big deal.

As for if it's possible to "do everything," that depends what you mean by "do everything." You cannot possibly see every possible dialogue conversation in one playthrough, unless you the save the game before every choice-based conversation starts, then go through that conversation while making one set of choices, and then after you have done that, reload your saved game from before the conversation started, and make a different set of choices the second time.

Also keep in mind that you might not be able to "do everything" for another reason that your OP doesn't bring up. That is because some of the side quests require you to beat extremely difficult minigames, and if you don't beat those minigames within those side quests, then you can never complete those side quests.

For example, I wasn't able to complete some of the side quests because I could never win the disco dancing competitions that require rapid & precise timing whilst I had a hard time seeing what was going on in the interface due to many annoying flashing lights appearing all around the cursor.

Similarly, you also might not be able to complete all of the items on your in-game checklists, because getting a high score in many of the Karaoke minigames is extremely difficult, and winning in other certain minigames is extremely difficult to understand what is going & also grindy too, including, for examples, the awful disco minigame again (which has many challenges related to it on your in-game checklists, in addition to the side quests that have content locked behind beating the minigame), and also the Mahjong minigame, which is universally regarded as a chore in this game, even by fans.

Other minigames like bowling can also be extremely difficult when they have side quests attached to them, like one which requires you to bowl 3 strikes in a row in order to beat the side quest.

Also note that the side quests in this game are called "substories," because each one is mini story of its own (and some of them are chained mini stories, like chapters in a book), so if you are unable to complete all of the side quests, then that means you will be missing out on some of the dialogues and (non-main) story content.

To complete all of your in-game checklists will certainly require massive grinding and also a very high degree of skill too, so I wouldn't count on the idea that you will be able to do that for sure. You might simply not be able to do it. And even if you are able to do it, skill-wise, then you still might not want to do so anyway, due to the massive grind (which isn't fun) that entails.

I'd say that getting 100% Completion will be beyond the reach of the average player. But the average player would be able to complete most of the side quests and the main story, probably.

Although there is one extremely difficult area in the main story of Yakuza 0 when the game randomly changes into a shooting game during a car chase, so some players get stuck there (Yakuza 1 has an almost identical scene too, which is made easier by allowing you to use your computer's mouse to make the controls of that sequence become 10,000% more precise in Yakuza 1, but Yakuza 0 doesn't have precise mouse controls, so using the mouse don't help at all with its very difficult car chase scene).

I'm a Completionist and I love to do everything in games like this, but I was unable to complete Yakuza 0 to 100% for the reasons I've just described above. But I was able to complete the main story and about 70-80% of everything.