I don't understand how we lose space behind. All the pictures I've
seen show this unit in a corner. There is no gap between the shower
cubicle and the wall.

The shower tray fits against the wall at the bottom, but the shower
tray is slightly tapered, I assume so the manufacturers can get it out
of the mould, so by the time you get to the top you're already about
an inch from the wall. The moulded upright sections then slot inside
the lip of the shower tray, giving about another inch from the wall.
The upright sections are moulded into fancy shapes so at some points
it's around 6" from the wall. The section in the corner where the
shower riser rail is mounted cuts the corner, so in total this is over
a foot from the corner.

The main advantage of this self-contained cubicle is that you don't
have to tile, and so eliminate a possible cause of leaking. No tiling
also means it's easier to install.

A standard shower tray is also prone to leaking at the join with the
wall - in fact that's exactly what happened to our previous shower. It
leaked for a long time, and eventually wrecked the plasterboard.

It's definitely easier to install. If tiling is done properly with
waterproof cement, and the grout pushed well into the joints, tiling
down to the shower tray, then sealed with silicon then there's no
reason for it to leak. If you're paranoid then you can tile onto
aquapanel cement board, which will not deteriorate if it gets wet.

Specific question I have a-

How easy is it to assemble/install?

very

How durable is it?

I haven't used it for very long but I would worry about the longevity
of the tray.

Is it really leak-proof?

The upright sections fit inside the shower tray, which has a lip.
Water can get under these sections but there should not be enough
power in the water to get over the lip on the tray. If you were to
spray the shower directly under the uprights then you might be able to
build up enough water to get over the lip, but if the flexible pipe
goes through the loop as per the water regs then it shouldn't be
possible to get the shower head down this far. The uprights are made
from 2 sections which are connected together by a long u-shaped piece
of plastic, so any water leaking through should be deposited on the
tray, behind the panels and will seep back in.

So yes you do get water behind panels but it's all designed to fall
into the shower tray behind the panels then fall back into the cubicle
and down the plughole.