Do regional tickets cover all forms of transport. ie train, bus and tram for the day?
Bayern tickets (or other Laender tickets) do. But there are also regional tickets that are train only, e.g., the Werdenfels ticket (Munich-Garmisch) or the Franken-Thueringen ticket and some others.
Actually, although the Bayern-Ticket covers all S- and U-bahn, trams, and buses in the metro transit districts (Verkehrsverbünde), like Munich MVV, and most bus lines in Bavaria (like RVO), there are a few individual bus routes that are not included.
Although the long-distance trains ARE faster, the don't go to every town. Most stations have only regional service. There are only a few, main lines with ICE/IC/EC service. Some towns might have only one or two such trains per hour (Bamberg has four - two each direction) and often you'll still have to make at least one change of trains to get to your destination. Currently there are only four ICEs a week through Garmisch-Partenkirchen - three on Saturday, one on Sunday, none during the week.