The challenge of the alien base "boss" is present, but rare. If you give it no targets but leave a soldier in a position where it can move to draw LoS, it will use mind control and make your life pretty unfun if you're trying to move up for a capture.
If you're just trying to kill it then it's pretty easy, yeah.
The mission design makes more sense on classic or impossible. It becomes a slog as the aliens try and wear you down, with the first rooms representing a chance to waste a few resources early, and the sectopods, muton elites, and the ethereals representing the actual threat.
As an aside, if your volunteer has a medkit and uses it to heal an ally, there's a custom line from the uber ethereal and he gets a little upset at how "weak" you are.
This is very true.
1. You need at least 5 alien alloys to research aliens materials. Carapace armor shows up right after that. It can be a little confusing because the nanofiber vest is an extra item, not armor, but carapace armor is what you're looking for.
2. Africa is the best in general. There's a way to make Europe good where you only take engineers on the first abduction and then take cash rewards and build workshops to change the missions that reward 200 cash into missions that reward 5 engineers and ~125 cash (accounting for extra power requirements). Asia is also quite nice over time as there are a lot of officer training and foundry projects.
3. Extra guns, as people have noted. It's basically never worthwhile to lose a good soldier just to capture a gun, however. Losing a rookie is fine.