To hopefully answer some of your questions, the searchable indices are only updated every few hours; if you want to select an artist you’ve just created, you can either click the “direct search” at the bottom of the dropdown list which bypasses the out-of-date index at the expense of being much less forgiving of errors, select them from the list of recent artists you get if your cursor is in an empty artist box (though they might not appear there if you haven’t yet used them anywhere), or paste the URL of their page on MusicBrainz into the same box, which includes their MBID and so is automatically translated into the proper entity reference. And yeah, edits will be automatically accepted as long as they don’t get more “No” votes than “Yes” before they expire. Once your account gets to two weeks old (you’ve easily made the edit requirement), all the “Add entity” edits will be immediately accepted – I actually forgot that they weren’t to begin with – but even before then you should be able to use them just fine, both in the relationships/data of other entities and in Picard. If an album’s not showing up on an artist page, it’s more likely that the release artist is set to someone else (if an artist has any releases of their own, other releases where they just appear in the track credits won’t show up on the main page) or the release type wasn’t set to “Official”.
As you’ve found, we don’t create artists by default, and I assume that’s at least partially because we could very easily wind up with a lot of duplicate artists if we did, just because a lot of people don’t take the time to check if something already exists in the database – if you ever start cleaning up data here in addition to adding your own, you’ll come to dread just how messy recording lists can get, because we do create those automatically if they aren’t specified, and unlike release groups, there’s no warning mechanism for highlighting what’s already in the database. We do, however, have that “Create new artist” entry at the very bottom of the dropdown that allows you to create someone without leaving the page, so it’s somewhat less painful. And in the other direction, that “Add release” in the sidebar can definitely simplify things a bit, especially if you’ve just recently added the artist separately, but it only leads to the same page you get when you click “Add Release” in the “Editing” menu, just with the release artist pre-filled for you; they’ll both create the release group if it doesn’t already exist.
There is definitely a lot of data you need to add, but at the same time, most of it only takes a few clicks (that quickly become routine) and/or is pretty necessary to describe a release; if something is released on multiple formats, for example, specifying whether you’re adding a CD or Vinyl or digital-only files will become important as soon as you or the next person to come along try to add the other types. There is a plugin for Picard called something along the lines of “Add cluster as release” that you may find helpful in reducing the amount you need to fill manually, but you will still need to check everything it does against the album art to be sure your files were tagged correctly.
As for genre, part of it is “where does hard rock end and power metal begin”, but another part of is is “what’s the best way to represent it in the schema”, and of course one of the bigger parts is “there’s only a relatively small team of mostly-volunteer developers, and more important things to improve”. We do have folksonomy tags and I’m pretty sure there’s some way to get those into Picard (one of the plugins?) but that’s not one of the areas I work with myself, so I can’t really help too much more than that. Since you’ve mentioned having a collection of it, though, I will warn you that classical releases have their own rules about how to format data that contradict most of the rest of the site – whether that’s a good idea or not results in occasional but consistent disagreements between editors from different traditions, but despite which side I fall on, I will admit that that’s not going to change any time soon.