While it has been removed, the Will penalty for Mind Controlled aliens dying might make sense for the nastier ones. These things are bigger and tougher than any human, and if something so much stronger (or looks like it is, at least) than a human can't stand up to what the enemy is dishing out, then the soldiers may start to wonder what chance they have against the invaders, especially the inexperienced Rookies.
Grey Market is a real life term for items sold legally but not though expected or approved channels. However, given that you're selling alien tech on it in this game, it could also be a pun on The Greys.
The News Ticker in the Situation Room occasionally claims that the total human casualties across the entire globe number in the mere thousands, which wouldn't make much of a dent in a decently-sized city, much less the entire world. On the other hand, it would make sense for official news reports (likely with prodding from the governments on the Council of Nations) to deliberately under-report the number of casualties, keeping panic from rising amongst the civilian populace.
The aliens seem to make some fairly crucial mistakes, such as leaving the ever-useful Meld out where you can find it, risking their technology being captured, leaving the Ethereal Device (which provides a psychic link to the Ethereal Hive Mind for sufficiently strong psychics) out where it can be snatched, etc. Doesn't seem very smart, does it? Of course, the Ethereals wanted humanity to get these things, to see what XCOM would do with them. One can only imagine how much the Ethereals themselves were cackling whenever humans captured a minion of theirs or stole another piece of their technology.
This realization will explain a lot of obvious strategic mistakes made by the aliens in a brilliant case of Gameplay and Story Integration. Why don't the alien ever send one of their Battleships to intercept and shoot down your unescorted Skyranger on route to missions? Why launch Terror missions instead of just bombarding the cities from orbit? After discovering the location of XCOM's headquarters in Enemy Within, why don't they just keep launching attacks until it's eventually overwhelmed (or just drop a equivalent of a bunker buster on it)? Why do the Ethereals feel obliged to follow the Sorting Algorithm of Evil, even though this makes no sense strategically (XCOM is clearly the biggest, if not only, military threat they face, so they really should have deployed their elite units right away to overwhelm the alliance in its early stages, not keep them squirreled away on the Temple Ship)? Because they were just testing humanity's resolve and worth!
Even more than that, the aliens attack XCOM HQ not long after the Alien Base is taken out of commission. What starts as a revenge/neutralization mission ends up convincing the Ethereals that XCOM represents the best opportunity for their plan to succeed. So they never attack again.
Alternatively, the EXALT cells are really just cells: they operate completely independent of each other, and their "high command" (who or whatever that is) doesn't see fit to actually tell them the details about what happens to other cells. In addition, XCOM is pretty deadly to EXALT operatives: the policy of "Kill 'em all" might make it had for EXALT to identify operatives when they're all dead.
At first, it seemed a bit odd that the bonus for Africa was a funding boost when they're nowhere near the top of the GDP. Then you see the gas station signs. When gas is between nine and ten dollars a gallon, they may well be both leading world GDP and influential enough to get others to fund XCOM more.
Either that or their governments don't need to be as transparent with the budget as, say, Japan. The US government, for example, would need to justify where are they putting so much money in the middle of an unprecedented crisis, while many of the African states could use most of their budget in XCOM and no one would find out.
Also, consider that Africa's continental bonus is titled "All In". It's possible that in order for a country to apply for Council membership, it will have to contribute to the war effort in some unique way. A country like Nigeria is unlikely to have the same level of industrial capacity or technological expertise as countries in North America or Europe might. Therefore, their contribution could either be to allow the Council unlimited access to their country's natural resources or outright invest a significant amount of their GDP just to ensure that their country will be under XCOM's protection. After all, if the aliens managed to conquer Earth, it's not like having a massive national debt or an broken economy is going to matter anymore.
Originally, there was a good excuse for the aliens not to directly assault XCOM HQ, but that changes in Enemy Within. How can their agenda be compatible with such an all out attack? Why, the entire invasion is a Secret Test of Character. If, after taking down the aliens' base, XCOM is unable to defend their own from the same trick, humanity will be another failure in the Ethereals' eyes.
The Skyranger is good at delivering soldiers to a location and not much else. Unlike troop helicopters like the Blackhawk or Hind, it has no weapons and no way to support your soldiers with air cover, sometimes making you wish XCOM would just buy a regular helicopter... but then a mission to the Tank Depot mission changes all that. Both a regular helicopter and a tank are objects there, and it takes about one stray burst of plasma to set either to explode. Considering how scarily effective plasma weapons are on these conventional, armored vehicles, and the Skyranger ultimately isn't much more advanced, it makes sense not to equip Skyrangers for air support. It'd be a giant sitting duck that even a Sectoid can't miss, and since it's your soldiers' only lifeline if the mission goes south, it's best not to risk it in combat.
Keep in mind that as devastating at the war against the aliens had been, it was made very clear by both Dr. Shen and the Uber Ethereal that the alien were actually holding back against XCOM the entire time, since the Ethereals' ultimate goal was to uplift and prepare humanity for 'what lies ahead' instead of outright conquest or colonization. Just think about this for a second: The Ethereals waged a destructive and bloody war that almost brought humanity to our knees and when the Temple Ship was destroyed, it almost resulted in a planetary Class 5 apocalypse, and it wasn't even on purpose! Can you imagine just how unbelievably powerful the aliens could have been, and how much of a Curb-Stomp Battle it would have been for XCOM if the aliens actually just intended to enslave and exterminate humanity like the did in the original game instead of merely trying to uplift us this time around?
Humanity would have lasted only the amount of time it took to get a Temple Ship close enough to self-destruct...
In Enemy Within, even after successfully completed all the covert ops missions, EXALT is not really defeated in any meaningful way. Sure, you managed to capture their central command and burn it to the ground, ensuring that EXALT will no longer be a military threat against XCOM for the duration of the war against the aliens. However, the overall organization is not defeated. When you raid the HQ, all the defenders were just rank and file soldiers, their leaders were most likely able to escape the moment the Skyranger landed. Also, how about the genetics labs that enabled them to augment their own soldiers or the psionic labs that they used to figure out Annette's unique abilities? Not to mention that they still have thousands of loyal members living amongst the general civilian population, working jobs in offices at the bank, PR agency, or whatever, just waiting for their leadership to regroup and for the call to come...