1. Enemy hidden units :
A battle somewhere in South America, enemy only has a couple of units, one of them are natives who can hide in bushes. I dispatch the first unit quickly, then spend 10-15 minutes combing the field for the hidden one. Am I missing something here, or is this the way it's supposed to be ? How do I find those guys who refuse to fight, flee or at least show up ? Am I too dumb to be entertained by this sort of battles ?
I think that's a bug of sorts. I always move my army close and then all the enemy units shift and start moving toward me. If it's the last unit normally the other unit should be forced to come out of hiding.

2. Enemy army remnants :
I win a battle. Enemy still has a couple of cav units fleeing (about 10-15 men each) - then I have to spend 3-6 turns chasing them down because they won't disband ? I remember in previous games they did so when badly depleted. Again, this is not fun, especially when some 20-30 enemy soldiers roaming in your lands can lay waste to 2-3 towns per turn.
That's the only reason I have cavalry in my armies. Ever. Usually I just have a backup army of dragoons for garrisoning/killing these annoying remnants

3. Naval battles :
They're pretty to watch, but degenerate in an utterly uncontrollable mess. I tend to get beaten when I expect to win, and don't get me wrong - I don't consider myself a tactical genius, but I'm at least competent after 10 years of TW. Example : small battle, me -2 ships, enemy -1 ship. I demast them quickly then move to its stern and start alternating broadsides. 10-15 salvos later, almost no noticeable effect. I move my ships slightly ahead, the enemy fires exactly once and routs them both instantly.
Are you perchance playing on VH difficulty? The insane stat bonuses are pretty much insane.

4. Artillery control :
Sometime they won't fire (enemy is at point blank range, standing still). Other times they do, smoke and bang and all, but NO DAMN CANNONBALLS. Yet on other occasions, they yell something like "Open Fire !" (with funny Dutch accent), but that's all I get. And other times they fire at absolutely NOTHING. For minutes on end, if I let them. And where are the pretty target markers from previous games (shift key)? I need them badly, because I don't let my arty on fire-at-will since I've seen them obliterate half my army by ignoring juicy targets standing in front of them to turn their cannons around and fire canister along the line towards some routing cavalry.
Artillery has been bugged ever since release. It's a little better, but still doesn't work too well.

5. Houses :
Enemy loves them. They get holed up inside, just because they think it's a good idea when I have artillery aplenty. Really, are they any use at all ?
I use them all the time. The enemy just LOVES to field cavalry-heavy armies and it lets me completely destroy it. Not to mention with the bugged artillery, I have trouble managing to attack houses in cities because there's another house in the way.

6. Walls with cannons and soldiers on top :
As above, what's the point of having them when cheap & reliable artillery is available right from the start of the game ? The only thing they add to a siege is a boring few minutes on fast forward, while my cannons blow them to oblivion, and some smiles as the clueless defenders plunge to their deaths when the wall collapses.
It's a very silly thing indeed, a feature that I've never liked about forts. I remember reading near release that artillery forts of that age should be dug IN, not build up high to make big targets.

7. City ownership after battle :
I lay siege on enemy city. Big army inside, so I wait. One turn left to surrender, ally decides to "help" - they move 2-3 units in and assault begins, with me as reinforcement. The allied army rushes to the walls, gets promptly destroyed and routed before I even had all my troops deployed. I carry on with the battle and eventually win, losing half my army in the process. The ally gets the city. Why the hell did THEY get it ? I was there first, and last, and did all the work. Absurd.
This is the most frustrating thing ever. THe easiest way around it is to save your game just as you siege the enemy city so that the allied army doesn't have the chance to attack if you reload the game.