Is Structured Finance (Project & Export Finance) the Right Entry Point for IB (M&A/ECM), and How Does It Align with DCM?

I'll take a stab. Structured finance is a relatively niche role within IBD. Ranging from the model construction practices to the participants involved in transaction. I can only speak to infra project finance, but deal participants might include a Tax Equity investor, a PE investor, a debt provider, maybe some government entity of some sort (again infra related). The way things are done are just fundamentally different because of the entities involved and likely involves some regulatory agency. 

From a development perspective, technical skills will definitely be pushed and challenged just because of the modelling complexity. Also, project / structure finance has a fundamentally different business operating model (think Long Term Tolling Agr or Power Purchase Agr) than a traditional M&A sell side advisory. The technical skills will translate if you go to pure M&A but you will have to re-learn certain things when moving to M&A. 

On your second point: project / structured finance will definitely work with DCM teams. My experience with them has been relatively limited. Mostly revolves around me asking the banks what their terms then dropping said terms into debt section of model. If you can build a traditional debt model then you're like 80% there skill wise. (Look up the concept of DSCR sculpting if you're bored). In terms of landing internships, it'll definitely look good because it's pretty well know that infra is highly technical. But if your ultimate goal is M&A then I would focus on that. If I was a M&A hiring manager the person with pure M&A experience would pique my interest more. That could be subjective depending on person. Hope that helps.