The most natural way to say this is, "the place that I want to go to most." You would use both because in the first case it is a verb and in the second case it is a preposition. So it is the same word serving two different purposes. To answer the second question, your sentence is grammatically correct and can be left as it is. You are correct in your thinking that the conjunction serves the purpose to connect the subject to the verbs in both halves of the sentence. If someone is telling you to put "they" in there, it is because they would say it like this, not because it is wrong without it. The way people speak in America is different from other English speaking countries and even within America, people speak differently according to the area of the country where they live, their education, and sometimes economic background. So what is natural for one person may not be natural for another. Take that into consideration when you read these answers.