Why did He say "Shuv l'Darkecha Midbarah Damesek"? He did not come from there!
Radak: He promised him that they will not kill him. Go on your way, i.e. via the Midbar, to Damesek.
Hashem commanded him to anoint Chaza'el, Yehu and Elisha. Eliyahu appointed only Elisha, and Elisha appointed the kings!
Radak: Eliyahu will make Elisha Navi in place of himself, and command him to anoint them. Also Elisha himself did not anoint Yehu, rather, via one of the Nevi'im (Melachim II, 9:1-10)!
Malbim: Elisha's request "vi'Yhi Na Pi Shenayim b'Ruchacha Elai" (Melachim II, 2:9) was that two matters incumbent on Eliyahu, i.e. anointing Yehu and Chaza'el, Elisha will do them. 1
Malbim (Melachim II, 9:1): Even though it is punishment, Elisha wanted to do so, to avenge the blood of Nevi'ei Hashem. Also refer to 19:17:3:1*.
Why is appointing a king, or other matters of greatness, called Meshichah?
Radak: Since it is usually via anointing [with oil], it is called Meshichah even when it is not via anointing, e.g. appointing Chaza'el and Elisha. It says about the Avos "Al Tig'u bi'Mshichai" (Tehilim 105:15), and it says "li'Mshicho l'Choresh" (Yeshayah 45:1).
Why did Hashem need to show this great revelation to Eliyahu before telling him to go to Damesek...?
Radak (13): This was a reward for Eliyahu's great act on Har ha'Karmel and Kidush Hashem amidst Yisrael. He returned them in Teshuvah, to the point that the said twice "Hashem Hu ha'Elokim", and he killed Nevi'ei ha'Ba'al. Hashem did wonders with Eliyahu on the way to Sinai, and showed to him this great honor. One must contemplate [the significance of] the wind, noise, fire and low voice.
Malbim (13): It was to show him that Hashem does not want Nevi'im to punish people and have Kin'ah amidst anger.
Malbim: Eliyahu said that he has Kin'ah for Hashem. Hashem said, I will do your will and punish the nation via Chaza'el, Yehu and Elisha. They correspond to the three camps he saw, which hint to punishment - wind, noise, and fire - and to Yisrael's three sins. For abandoning Your Bris, Chaza'el, who is not Ben Bris, will strike them. For destroying Your Mizbechos, Yehu, who destroyed Mizbach ha'Ba'al, will strike them. For killing Your Nevi'im, Elisha will kill them.