Here's the deal:
Most dealers will require a deposit for two reasons: One, so they know you're serious and won't back out when you get cold feet. It filters out the fickle customers. Second, if you do walk, they won't be stuck with a car they'll have a harder time selling. This is especially true of certain unpopular color combinations or cars that are fully loaded or with uncommon option combinations - it really depends on the area and your build. Most dealers know what sells and what doesn't and will charge the deposit accordingly. My local dealer charges anywhere from $1000 to $3000 depending on the build.
Sales contract is not required, mostly because you're not buying anything until the car arrives. The price can change from the order date to the delivery date as sales incentives change from month to month and dealers never know in advance what they will be. If you do get a sales contract, it will typically include the MSRP and estimated taxes and fees. You'll usually at least get a quote and an order sheet that will show your build options, that it is a Priority 1 car (for a customer), a build date, and a production number. They can also discuss financing if you're using them and if you're trading, a lot of dealers can do a preliminary appraisal of your trade. Again, since you're not making it official until the car arrives, this value can change, but at least it gives a ballpark so you can minimize any surprises on delivery day.
If a dealer is willing to order a car for you without doing paperwork, that's not too strange, just uncommon. I would expect to get an order sheet with all the details I listed above, specifically, your name, Priority 1, and a production number. This will at least show that the car is going to you and you'll be able to track it on it's journey from the factory to the dealer.
I've ordered both my MINIs and the first one I had to put down a $700 refundable deposit, but I don't remember if I had a sales order or not. The second one I had no deposit, no sales order, just a build sheet and we did all my paperwork when the car arrived, but I work with this dealer a lot in my line of work.