Welcome to the Forest, GeoOfAkaneia!
Blazing Blade is a great entry point.
Echoes is indeed a remake of Gaiden. To me, it feels incredibly better. There is a lot of DLC learn more about them here : https://serenesforest.net/fire-emblem-echoes-shadows-valentia/miscellaneous/downloadable-content/
Yes they are. https://serenesforest.net/awakening/miscellaneous/downloadable-content/
Conquest is indeed harder than Birthright. The DLC maps are scaled based on your level/progress so whatever paths you play you will experience the same thing.
As of today, the 23rd of October 2021 there is no FE Three Houses Complete Edition. And I don't believe there will be one.
Worry not, step by step, you will learn as you play.
Have a nice day and enjoy your stay!