So I know this system doesn't exactly work like in D&D and everyone can use anything. But are there no penalties? How do I know if a character/NPC can use a sabre better than a war hammer, or heavy armor better than leather? Is there an affinity stat somewhere?

I haven't seen anything, and it bothered me. Lol, it seems like you can just use whatever you feel like, which is cool. You can then grab Talents which will improve your accuracy with different Weapon Groups. As well as picking yourself a Weapon Style type Talent which will do various things for you, depending on the style. Weapon and Shield boosts your Deflection bonus. 2 weapon boosts attack speed by 20%. 2 Handed boosts damage. Etc.

Yeah, it's more about the talents you choose and your overall strategy than the classes. Heavy armour offers better protection than leather but also makes you slower (thus reducing your damage output). You have to find a balance.

I guess that makes sense. Thanks

Keep in mind that there are really good light armors in the game that give only %15 or %20 attack speed reduction, so you can actually make your melee dps (rogue, barbarian, monk etc.) a bit tanky aswell.