1. That is how the game works. Only certain modes (Fighting Matsuri Challenge, Theme Arena - no main mode, as examples) allow for no main.

2. Yes, your level is too low. More treasures unlock at higher levels.

3. You can PVE only but PVP is a large portion of the game.

4. You are able to use any team that works for story. PVP has a meta so not just any team works there.

Recommend the official discord for quick help and tips.