1. Nope. Can't change the theme of the Messaging app, unfortunately. This is a long held gripe of many. Many choose to use a different SMS app, and just ignore the factory app (turn off notifications in Messaging). As a general rule in Android whenever you go 'back', you will see whatever screen you were looking at before you were on the current screen you're on.
2. I agree, the lack of customization in the Gallery app is frustrating. You will probably be better off using a 3rd party photos app, like QuickPic - you can tell it to only scan certain folders for images and ignore the rest. You can plug your phone into your PC and easily organize folders that way also. When I download images off websites on my Mini, they always go to the Downloads folder, so not sure why that isn't happening for you. The new 'Photos' app is tied to Google+ and eventually Google will probably kill off the old Gallery app. You can set Gallery as the default app when you open a photo - choose Gallery then 'Always'. You can also disable any apps you don't like via Settings>Apps>Pick App>Disable.
3. Haven't tried using push email on my Mini (because I use a POP account), but if I set the Email app to poll for new mail every 5 minutes, and it's more or less the same.