For the first problem, fix $x, y \in \Bbb{R}$ and define the set $S_{x,y}$ by
$$S_{x,y} = \{\lambda \in [0, 1] : f(\lambda x + (1-\lambda) y) = \lambda f(x) + (1-\lambda)f(y) \}. $$
We easily check that $0, 1 \in S_{x,y}$ and if $\alpha, \beta \in S$ then $\frac{\alpha+\beta}{2} \in S_{x,y}$. It immediately follows that all the dyadic rationals (i.e. rationals of the form $k/2^n$ for some $k \in \Bbb{Z}$ and $n \geq 0$) in $[0, 1]$ are in $S_{x,y}$. By the continuity of $f$, this implies $S_{x,y} = [0, 1]$.
This is enough to conclude that $f$ is of the form $f(x) = ax + b$.
For the second problem, changing the parameter a bit gives a nowhere piecewise-linear example. Indeed, consider the functional equation
$$ f(x) = \frac{f(\alpha x) + f(\beta x)}{2}, \qquad \forall x \in \Bbb{R} \tag{*}$$
where $f$ is continuous, $\alpha \in (0, 1)$ and $\alpha + \beta = 2$. If we choose $\beta = \phi = \frac{1+\sqrt{5}}{2}$ (which is the golden ratio), then $\alpha = \phi^{-2}$ and the following function
$$ f(x) = |x|^{1+2\pi i/\log \phi} $$
solves the functional equation $\text{(*)}$.
I believe that this kind of solution does not appear in our case $\alpha = \frac{2}{3}$ since the set $\{\alpha^k \beta^l\}_{k, l \in \Bbb{Z}}$ is now dense in $[0,\infty)$. But I have no good idea to begin with.