Apparently on the dots filling in thing... you are somehow using "appearances" from the appearances pallette... which you can sometimes inadvertently begin using is you you are drawing with a "brush" selected, rather than just using the stroke pallete to set the size of your stroke. If you don't want appearances... try just opening up a new doc and making a bunch of layers, make soem objects with the pen tool... without choosing a brush. If appearance dots are showing up then... you have a problem. I don't use appearances, or any of the other fancy illustrator tools like brushes and effects and junk... if you are it may be causing you some irritation. The illustrator help docs are pretty helpful and thorough. Look in them for more info on that.
You can manipulate points as you create them. Instead of creating a point, then going to the pallette to use the "change point type" tool... you can just click-add a new point, hold and drag and it will begin its life as a curve point. The only reason the whole thing would disappear would be if you clicked off of the line at some point. It can be irritating trying to select 1 specific point after you have created an object (for instance without selecting the whole line) , but it's usually fairly simple to add points, so I'm having a bit of difficulty imagining where you are going wrong. :-/ Illustrator is a very powerful tool. It can also be a very irritating one.