Speakers are a minefield, with many opinions on what is best etc (and I'm probably not the best person to ask, so take everything I mention with a pinch of salt), but for a cinema room I wouldn't go for anything with dome tweeters - they spray the sound everywhere which can add to the need for room treatment.
I'm a fan of compression driver/waveguide speakers, like those you find in commercial theatres and PA speakers (not the piezo tweeters). Many normal HIFI speakers will have what is called 'baffle step compensation' built into the crossover, so although those Dali's may still work in a baffle wall, the BSC is not needed.
If you want to save some money, I'd suggest something like Behringer B215XL or B212XL (or a smaller equivalent, but that will require some research), which will leave you some cash over for a better sub(s). There's a huge thread over on avs for them:
www.avsforum.com
In a baffle wall, the 15s can be crossed as low as 40hz (it's where Audyssey wants to cross them and the 12s a bit higher).
I'm pretty sure I'm in the minority here for speakers like these, but they do sound different to the usual speakers and are more in keeping with those you find in commercial theatres.
Atmos and even surround speakers an be coaxial speakers - like Kefs or even car speakers which can be screwed directly into the ceiling like a downlighter, they have the tweeter in the middle of the driver, so you can have the same speakers for surrounds and ceiling. If you want something more conventional, maybe some JBL Control Ones which are small:
With a compact, two-way design in the JBL® professional tradition, Control® series monitors take true studio sound to places where only boom boxes have been before.
uk.jbl.com
They're just a suggestion and I'm sure others will have different/better ideas. The most important speakers are the LCR which is where the bulk of the audio comes from - something like 80% from the centre, and 3% from the surrounds as I recall (before Atmos was a thing, so that may have changed for the surrounds now), so you may not need to spend so much on the surrounds.
If you can get a demo of any speakers, especially the Behringers/PA vs hifi, that will certainly help.
This link gives a bit of an idea for baffle wall construction. There's more on the site if you search.
This article is a case study of how we designed and built the THX style baffle wall in the Acoustic Frontiers demo room. A baffle wall can be thought of as a false wall into which speakers are ‘flush’ mounted and can be built in front of the existing wall in a home theater or instead of the...
www.acousticfrontiers.com