In the beginning of the film, how did that many soldiers sneak into Don Diego's house? I know he was distracted by his wife and child, but there were a lot of soldiers, with heavy boots, and he's freaking Zorro. Yet they've made their way up the stairs and into the house without him noticing. What gives?
He was tired and sleepy, and they may have been trying to come in quietly. It's not a huge difference, but it might just have been enough.
Yeah, they most likely just walked in at a nice slow pace, which while it would still have been noisy, would not have been nearly as much so had they been running or marching. Besides, it's a big house.
About the arrest scene: how did Montero deduce that Don Diego was Zorro? Yes, he found Don Diego's arm wound, but he clearly knew the truth before that. Also, in the opening scene, Montero's friend tells him that Santa Anna's troops are an hour away, and that Montero imperatively needs to leave town before they arrive. But Don Diego's arrest-at least the part where he's carted away in a prison wagon-seems to take place at least two hours later. So why is Montero still here?
From the scene, it's implied that Montero at least suspected Don Diego for some time, but for various reasons couldn't act on it. (What if he was wrong? Falsely accusing another nobleman would be a big deal.) The scene at the house where he found Diego's wound confirmed it for him. And since Montero was being ousted anyway, he could take the chance. Also by the time Santa Anna got to the capital, Montero had left, so there was no reason to go after him. Montero had this one chance just before he had to leave Mexico to finally defeat his rival, so he took it.
It's not that Montero has suspected him all along, it's that he figured it out during that day's events. de la Vega always pronounced his name in a specific manner, and when Zorro called him by name with the same pronunciation during the attempted public execution Montero was shown tilting his head with a recognizing expression. So, that's when he thought "Wait...Diego?" and went to his house to confirm and capture him.