I had a moment of this re-reading The Golden Compass. In an early chapter, Tony Costa describes beings called Windsuckers: "They drift about in the air. You come across clumps of 'em floated together sometimes, or caught snagged on a bramble. As soon as they touch you, all the strength goes out of you. You can't see 'em except as a kind of shimmer in the air." I've read the series more often than I can count, but only on this reading did I go Holy shit, those are spectres he's describing, and he doesn't even know it! —Hopeful Nebula
Hmm, actually no. You see, Those are not spectres, those are severed daemons he's talking about. Spectres are entities that consume daemons. That was a nice Chekhov's Gun there.
Seconding Hopeful Nebula - in that universe, they mostly have no idea what spectres are. So if they'd ever come across them before, then they wouldn't know that they're spectres and instead would try to explain them away as something else... severed daemons, for instance. -Chantililly
There's also the fact that if you ignore Word of God (who cares what he says, anyway?), the ending can be interpreted as a great deal more than a straight-up "Religion is evil!" message. Instead, it can be "people twisting belief to suppress dissent is evil." Because, will you look at that, this is a story that features a benevolent, inspirational cosmic force...
When Lyra and Pan are being separated, why does Pan not just turn into an ant (or something of similar size) and crawl across to her?
The Fridge Logic here stems from the fact that in the books, having your daemon touched by another person is portrayed as a startling, significant experience (it's usually only considered acceptable between people who have a very close relationship), while in the movie this issue wasn't really explained. Basically, in the book Pan was in shock and too out-of-it from being grabbed by the Bolvangar staff to think of changing shape. Movie!Pan didn't display any signs of this.
Both he and Lyra were clearly very panicked in the movie though. It was earlier established that he and Lyra feel the same things, so if she's so freaked out that she's flailing and screaming and unable to formulate a plan, he probably is just as hysterical.