To be fair, Lo Pan was also missing out on other things and severely restricted in his ability to influence the world. Presumably, as a sorcerer, he'd have ways of extending his life and his base isn't normally under siege. Jack getting that close to him is a once-in-a-lifetime opportunity given all of Lo Pan's bodyguards and mook army were preoccupied.
Even then, Lo Pan might have been able to handle him if not for the fact he (not unjustifiably) considered Jack a complete joke and Jack's knife trick taking him by surprise.
The marriage to a girl with green eyes will make him flesh and blood, the sacrifice of his green-eyed wife will grant him immeasurable power, he says as much in the movie. One of the powers he'd get from sacrificing Gracie would presumably be immortality, but without the drawback of being immaterial/old.
Likewise, Lo Pan didn't seem to have much of a plan to rule the universe either, besides "become mortal and the rest will follow". He may be a powerful sorcerer, but as a mortal it only takes a knife to stop him. His mooks are tough, but the lesser ones die to gunfire and it seems like a decent military force could stop his plans for universal domination easily.
Whoever said he wants to rule the universe? He's already got gobs of money and power, gangs and demons at his beck and call. His plan here isn't to rule the universe — his plan is all about getting his corporeal form back so he can enjoy physical things for the first time in centuries. Once he indulges, presumably, he'll just keep on with what he had been doing.
Before Lo pan completes the marriage to make him corporeal, he is corporeal enough to take a needle and draw blood from his brides to make him flesh again. This is never explained.
Right, Thunder is the only one who definitely knew Lo Pan was dead, there's no indication the rest knew. Plus, Thunder came off as more hot-blooded than say, Lightning. If Lightning knew, he might have just been calmer about it, wanting to avenge his master before dying, if he intended to die at all.
Why didn't Lo Pan try marrying a white woman before he chanced upon Gracie Law? Surely it's easier to find a green-eyed white person than an Asian one.
Well it's explicitly an attempt to find a Chinese woman with green eyes. Gracie Law, due to her interest in Chinatown and constant attempts to lecture Jack about it, is implied to be of mixed European and Chinese ancestry. Despite, well, being played by Kim Cattrall. You're right, though, that a woman of Chinese/European descent would be the best solution as Gracie proves. It's a Prophecy Twist and Lo Pan would probably be kicking himself for it if not for the fact it provided an "out" for him to not have to sacrifice a woman he desired.