>> Zurich HB to Wengen (02hr 50 min- Reach by 14:51)
Visit Wengen/Murran (Walking Tour). Stay @ Wengen.
I would suggest spending all your time in Wengen on this day.
A return trip to Mürren will take at least 2 hours, plus whatever time you spend in Mürren. As you pass through Mürren to get to the Schilthorn, consider visiting Mürren when you go to the Schilthorn, rather than on your first day.
>> 30 Sep (Day 02) - Train to Schilthorn. Boat ride @ Brienze (or Grindelwald). . Back to Wengen.
Travel to the Schilthorn is by cable car from Stechelberg or Mürren.
>> Oct 1 (Day 03) - Early morning train to Zermatt. Check in. Visit Matterhorn. Return by Noon. Zermatt walking tour.
You can't actually visit the Matterhorn, but you can see it from various viewing points, including the Gornergrat and Klein Matterhorn/Glacier Paradise. Having only one day in this area means you risk not having clear enough weather to see the Matterhorn.
Travelling from Wengen to Zermatt, checking in, and then making a return trip to the Gornergrat or Klein Matterhorn by noon seems unpleasantly rushed. Have you planned this out using the Swiss Timetable?
>> Oct 2 (Day 04) - Train to Montreux. Montreux to Lucerne (Golden Pass). Lucerne Chocolate factory visit.
Travel time would be close to 8 hours. What chocolate factory are you visiting in Lucerne?
>> 1. Can I have Purchase the Swiss pass + family Pass online and just carry the printout or should I get the pass after reaching Zurich ?
You can buy the Swiss Travel Pass and order the free Family Card online and print them at home, which will save you time and provide you with spare copies to reprint if the original is lost or damaged.
>> 2. Day 02 instead of Schilthorn can I go to Kandersteg? Which one is a must visit site?
Different people will have a different opinion about that! I would pick the Schilthorn, but you need to decide for yourself ;-)
>> 4. Day 04 Can you recommend things to do in Montreux? As I am visiting Chateau in Paris, can I skip Chillon or is there anything unique about this place?
You don't say what chateau you are visiting in Paris, but in any case, you need to decide for yourself ;-)
>> 5. Can we leave the luggage in Bern station, do they have a locker facility?
Yes, details here:
(Expand the "Equipment and mobility at the station" section)
>> 6. My return flight is by 9.45am so I need to be in the airport y 6.45 am, will I get a bus or train to reach to airport that early in the morning?
You can find out by using the Swiss Timetable (see link above).