I don't think the outside access panel comes with the furnace, Jim. That, the exterior through-wall fittings and the ducting are usually provided by the Rv builder, I think. I've seen several Rvs with no outer access - just the two through-the-wall fittings for exhaust and air intake. The wall fittings should be available from RV parts houses and probably a standard size exterior access panel as well.
On the inside it is probaly a good idea to make the return air intake a removable panel, i.e. a screen in a frame that can be removed from the interior wall. Mine is below the fridge and held in place with two decorative-head screws. It uses speaker-grill material to provide a pretty covering. Removing the air intake screen gives decent access to the furnace and ducting, in case maintennace is ever needed
The connections to the outer wall must be air tight to prevent exhaust from flowing back into the interior and to assure the furnace draws its combustion air from the outside. The furnace itself is factory sealed and does not have to isolated from the interior.
As Ron says, follow the furnace manufacturer's installation instructions. The ones I have seen are pretty explicit about clearances and the sizes needed for proper air intake and flow through the ducts. Cheating on those, esecially ducting, will impact the function of the furnace, sometimes severely. And make sure the combustion intake and exhaust are well sealed - your life may depend on it!