I've done a lot of magazine templates and series so maybe my experience can help.
Do I need to make this Library with all possible ad sizes at this
point OR only start to make them when magazine other specification?
In general, you do the ads as you need them. There's so many combo possible that it's almost a waste of time to prepare them all in advance. Over time you will fill your "library" with all the sizes you need, and in fact you'll come to a point when you'll need to update the ads to their new style and layout anyway. That's why it's better to simply gather them than creating them before you need them. Some ads even get changed on every edition.
Personally, I never used any "library" system besides having folders with the latest well identified ads. You can imagine how heavy your file will be once the magazine will be completed and how it slows down performances to use too many addons or object libraries. The best way to proceed for this is probably to use the same ads from your last magazine; that's how your clients will ask for them and you also know these ads will print properly.
You will probably need to have a folder with all the different latest companies logos as well, in colors and grayscale. Depending on what kind of magazine you work on, the logo bank ends up being something you'll need to re-use probably even more than the ads themselves.
What should I keep in mind when I make measurements for ad sizes that
there will be placed, both with or without bleed? Is there the one and
only right system that I need to keep in mind when doing this?
Ads shouldn't need bleed but I recommend you use bleed anyway even if it's a very thin bleed (e.g. 1/16".) If you ever need to ad a border to one of them someday, you can avoid bad thin white line between your border and the ads' edges. It can also be useful if you ever need to trap them manually.
Ads should be built in the same way as any other print-ready file but you can use a safe margin of 1/16" instead of 1/8" for the ads that don't need any bleed at all. It will look good and be easy to read.
I also recommend you do the biggest size ad first then the smaller ones from the same ad; you'll save a lot of time. For this reason, it's not a bad idea to create your small ads at 2-3x the required resolution; this way you can always resize them bigger later if you need to. If an ad is a small 2x2" square at 300ppi, you simply create it already at 600-1200ppi. This way you can almost use the same ad for a half of full page later and simply readjust the layout instead of starting from scratch.
Any other helpful information about planning ads in magazines would be
What's very challenging with magazines is to fill every corner well and in a balanced way. You might also need to restrict the content to a fixed number of pages.
The way I always did magazines was to first put all the text content and what's part of what people read. Then the images. And at last the ads. Some ads need to be on an odd or even page, some need to be half page, some just in a corner or within classified ads section for example; by doing the main frame and texts first you'll see easily after you're done where everything should go. Then it's more like doing a puzzle and fitting everything.
You should start by placing the full page ads first, then go with the next big ones and adjust your text layout accordingly if necessary. You should also be careful to not put too many full page and half page ads too close to each others and leave a few pages between them.
Finally, you WILL need some "filler" content. Your manager or clients should provide you with small parts of content that will be used as fillers if necessary. That content should not always be used but can be used if necessary to fill some blank corners; it's backup content in a way. For example: tool tips, the magazine own ads, promotions, reminders, etc.
As an extra tip, the content of the magazine is very important but you need to make sure at 150% that the paid ads are perfect! That's why I don't recommend you use software libraries for this. If you ever make a mistake or there's an ad that doesn't print well, you might lose that paid ad and in the end, it's these ads that really make a magazine profitable, not the sales of the magazine. I don't know what kind of magazine you work on, but some corporations can easily spend up to $10,000+ for a full page (e.g. Pfizer, Bayer) and usually have a few months or even a 1-year contract. That's a lot of money for the magazine owner. That's why your first focus should be on these guys' ads and then fixing the commas in the magazine layout.
Don't type any text! Copy/paste everything, even if it's only a 2 words sentence! The titles are often the ones that contain a lot of typos that no one notice because people tends to skip reading them after a few reviews. Make sure you take the time to review the titles every time.
One good last trick to review your proofs: Look at the proof 3 times. The first time, read it normally. The second time, review the proof upside-down! I know it may sound funny but that's a good way to see things you've missed and somehow your eyes will notice things you skipped the first time. Then the third time you can review the proof again normally after doing the last revisions you found the 2 first times. Then you can show the proof to your client.