You're not going to screw yourself by using overpowered units at the beginning of the game. First off, Sothe is forced into endgame, so you might as well use him. If you don't, you'll run into trouble in chapter 3-6. Same deal with Volug. I wouldn't bother using Naliah, as she doesn't really amount to anything compared to other laguz royals, and thus is a waste of bonus exp. The black knight is usually deployed in the 1-E for recruiting Lehran in 4-E-5, but as previously mentioned, he can unequip alondite and be used as a wall.
Paragon is a good skill to teach Sothe or Volug in part 1, since most units won't be able to use it anyway due to a 15 skill capacity 1st tier. If you put it on either of them, the will gain enough exp that it won't really be much of a waste. They aren't stereotypical pre-promotes like Jeigan(H5)/Marcus(FE6), and if used, they both are solid units.
None of the problems you listed are uncommon problems (well, maybe the last one is, but that's psychological). Focus on changing your habits, and most of those problems will go away.
(Changes bolded in response to replies)