Without loss of generality, suppose that $a_1\leq a_2\leq \ldots \leq a_n$. If $a_n=0$, then all $a_i$'s are $0$ and the first inequality holds. From now on, suppose that $a_n>0$.
Note that
$$\left(\sum_{i=1}^n\,a_i\right)^\nu=a_n^\nu\,\left(1+\sum_{i=1}^{n-1}\,\frac{a_i}{a_n}\right)^\nu\,.$$
Using Bernoulli's Inequality, we get
$$\left(\sum_{i=1}^n\,a_i\right)^\nu\leq a_n^\nu\,\left(1+\nu\,\sum_{i=1}^{n-1}\,\frac{a_i}{a_n}\right)\,.$$
Clearly, $\displaystyle a_n^\nu\left(\frac{a_i}{a_n}\right)=\frac{a_i}{a_n^{1-\nu}}\leq a_i^\nu$ for $i=1,2,\ldots,n-1$. Thence,
$$\left(\sum_{i=1}^n\,a_i\right)^\nu\leq a_n^\nu+\nu\,\sum_{i=1}^{n-1}\,a_i^\nu\leq \sum_{i=1}^n\,a_i^\nu\,.$$
The equality occurs if and only if $\nu=1$ or $a_1=a_2=\ldots=a_{n-1}=0$.
To answer the second question, take $a_1=a_2=\ldots=a_{n-1}=0$. Then, the (second) inequality reads $a_n^\nu\leq c_\nu\,a_n^\nu$ for all $a_n\geq 0$. Ergo, $c_\nu \geq 1$. That is, there is no such constant $c_\nu\in(0,1)$. However, one can prove, using the Power-Mean Inequality, that
$$\sum_{i=1}^n\,a_i^\nu\leq n^{1-\nu}\,\left(\sum_{i=1}^n\,a_i\right)^\nu\,,$$
in which the equality happens iff $\nu=1$ or $a_1=a_2=\ldots=a_n$.