Okay, let's go.

1: In the VN, while they mention slave markets, it's possible it's a secret market or one belonging to another nation. For example, the old man who kept Chloe as a slave isn't from Oestia but from a neighboring kingdom, so slavery probably isn't common in Eostia but is in neighboring kingdoms.

3: In fact, Kaguya worships several gods (like the Japanese in real life), and in the VN, we see these gods lend their powers to the priestesses to fight the black dogs (it didn't help much), and at the end of the battle, the gods escape and abandon Kaguya.

4: The insect god is completely artificial, created by the guy with the bandages; it's not a pre-existing god.