Hellenic Native Phalanxes ans such

[Tollheit]

and the phalanxes:
If you build a gov4 and build build a barrack (native or factional) it becomes a "gov4-barrack", meaning you can only train the allowed units.

Not true!
Government type defines the possible level of both factional and regional barracks. The type of factional and regional barracks is the same under any kind of government, only the possible level for both varies.

What you wrote is only true in regard to some reforms (one of the Celtic reforms, probably others too)

Vintotal, what do you mean by "native", factional or regional?

Lastly, I am unable to train Hetairoi Kataphraktoi.

You cannot train them, they are your late bodyguards.
This means any Baktrian general coming of age after the "March of Time" event should have them as bodyguards. Just as it is with your rival factions.

Another issue I have forgot: Is there any reason why I can not build any type of government in some settlement (like Indi regions)? I can not demolish them any previous government because there is no previous government, so I can not build another!

Have you build the "pacification/military occupation" building?

Or maybe a government building is there, but not readily visible because it is last in a list of many buildings, so you would have to scroll down to see it?