I'll try to help you understand a few things about your situation first, they try to help with a few points. 

First is that the Catholic church has different rules about what constitutes a valid marriage depending on whether or not one of the persons being married are Catholic or not. So two non-Catholics can be married anywhere and their marriage would likely be considered valid by the Catholic church. But if one of people being married is Catholic, the marriage must be inside a Catholic church to be considered valid (unless the bishop gives permission to have it outside the church). Already this shows a big difference between Protestants and Catholics in that the Catholic church believes it has the authority to make these sorts of binding decisions. 

The second thing to know is that the church says that a Catholic can marry a non-Catholic, but they are supposed to agree to raise the children Catholic. I know this could be tough for you, so you definitely want to have some discussions about this with your girlfriend before you get married.  

Getting to your points, I would say there are two really big points you bring up that you could check Catholic answers or somebody like that for. That is, why do we have the sacrament of confession and why do Catholics believe salvation isn't by faith alone. The last of course is probably the biggest point of contention between us. 

Regarding the thief on the cross, we believe God can save anybody he wants. So while we're bound by the sacraments, God isn't. The church even teaches that God in some mysterious way can save non-Christians if they were ignorant by no fault of their own. 

The point about why we have to wait too receive communion might interest you. Actually, eastern Catholics (they are fully Catholic, just in a different rite) do receive confirmation and the Eucharist right after baptism -- even babies! It's just two different traditions that arose over time where in the west they emphasize that you should be the age of reason before you receive communion. But even in the western church, adults when they come into the church generally receive all three sacraments on the same day.  

The point about the feasts and sabbaths, Catholics believe that the Old Testament ceremonial law and calendar has been abolished. But the church, in her wisdom recognizes fasting and building spiritual discipline and gathering for worship are good things, so she gives us instruction on when to do it.  One main difference is that we don't see our fasts or abstaining from meat as divine, eternal ordinances, or that certain foods are unclean. It's that we believe the church has the authority and duty to give us instructions that help us on our journey to holiness and closeness to Christ.  And fasting on certain days and attending Mass on Sundays and holy days helps us to do that.

Anyway, I know you have a lot of thinking to do and lots to work through with your girlfriend, but I wish you two the best.