welcome to the club !
There's a bunch of subtleties about MTW, that will keep you coming back to replay it over and over again, and try things a little bit differently...

The Pope, yes, he has been voted the most annoying all-around TW character (if you can have that), BUT, he contributes to part of the fun ! There's so many things you can do about the pope, and just have fun doing them...
Keep in mind that yes, he will keep reappearing an infinite number of times (actually, only until the game ends ;)), but one thing to note is that while as a rule he keeps coming back stronger and stronger, the strength of his units is based on the number of enemy troops in his two provinces. So if you leave 1 peasant unit in each of them, he won't reappear with too many troops (for a Pope reappearance, that is).

Yes, everybody goes into debt. If you use the "-ian" option, you can switch to play AI factions, and check their financial state ;)

Ok, I'm giving away too much stuff, and I don't wanna spoil it for you

About the rebellions: it's normal. Once you get over 2/3 of the map, you'll have a wave of rebellions pretty much regardless of what you do.
Some of the time, part of this may be attributed to the distance of your leader from all the territories - when you own that much of the map, unless you have supremacy of the seas at all times, you're bound to run into rebellions... BUT that's also part of the fun, otherwise it would be boring steamrolling... ;)

have fun !