When I'm not doing a 'unique girls only' run, I generally just go for one of each race (including the uniques, which I still grab). My character and starter are chosen to maximize early combat potential (either cat or wolf, usually). After that I get a third decent combat race, and then just play leisurely until I have a slave of each race. That's my 'usual' play-style. But I've done it so often that it's almost second nature at this point, hence my 'challenge runs'.
Tossing your first slave? Kinda harsh in my opinion. I know it's just a game, but...they're like...your closest friend in most of the options (family, even, if you want to go that way). I just can't do it. xD Good way to up the difficulty though.
Progression is a little...jumpy and not super rewarding, I agree. The only places that unlock via the story are the areas in the Elven territory. I can't remember if you can revisit the cave from the second to last story mission...not that there's anything there to find.
I typically ignore Strength until I have Endurance/Agility maxed. I feel they're the most important stats. Magic Affinity? Not so much. I haven't been able to make a magic build really viable yet. I always end up defaulting to melee. Not to mention how tedious it is to have to choose a target every time. It's sooooo much easier to just hit F. xP