1. The way I pronounce it depends on the person with the name. I prefer THA-lee-ah
2. The stress is on the first syllable, so THA-lee-ah is the easiest way to probably explain the Modern Greek pronunciation. This site doesn't have the stress marks that exist in Greek. Wikipedia is a good place find the names with those so you at least know where the stress falls (they list the pronunciation of Thalia anyway). If you have any doubts about it, you can try the Greek translation of the page. It's a good place to start. I fill in the gaps with a Berlitz pocket Greek dictionary (yes, I am that big of a name nerd) and my Greek-American friend.
3. I like Thalia the best from those. I also like Thaleia (the other Greek form).
4. No
5. People learn pronunciations. I don't think it is a big issue, especially when the name is not that unusual or intimidating in length.
6. The name is pretty and I think it is unusual, but still classy and simple.