David,
Dispite of my lack of any professional credential, I will have to disagree with you concerning Houdini's modeling approach. If this is Houdini version 4, I would have agree with you that modeling in Houdini can be painful. However, version 5 introduces the procedural approach of modeling that is just unlike any other in my opinion. Because of Houdini's totally non-destructive workflow, I don't think I can ever get used to any other modeling packages including Softimage and Maya. Being able to see work from Day 1 at the first minute that you started your modeling process is something that currently only Houdini alone is capable.
Even if you compared Houdini to Maya by having 1000 SOPs from your model, I think you will find that Houdini will still be much faster at 1000 SOP where Maya will craw at 300 construction histories. What is more, if you simply go back to certain node and change something, its end result will ripple down to the last node. Now this is what I would considered truely a non-linear workflow.
As far as what is happening when you “Delete History” in Houdini - when you do so from your Viewer, Houdini will hard lock ( you will see a node that is color coded yellow on the left side of the node in the Network Editor) the current node that you are viewing and delete all the nodes before the current one. This is probably an operation that I don't really recommand unless you are just 110% certain that you will not need to go back to the node before. By hard locking, Houdini will not cook all the nodes right from the beginning. After all, why not simly go to your Network Editor and manually hard lock a specific node? By doing this, even if you have 1 billion nodes before the hard-locked node, Houdini will not cook them. Instead, Houdini will just cook from the one that's hard-locked. This is essentially similar to “delete construction history” or “collapse stacks”. If then, you noticed that all those previous node that you don't need, but don't want to delete and is taking up too much desk space, you can clean tidy them up by collapsing all thse nodes into a Subnet SOP (Inside Network Editor, shift-c on a group of SOPs to collapse, RMB on that Subnet SOP and select “Extract Content” to expand them).
Now, concerning the speed issue when you have, say 1 billion SOPs. Depending on what you want to do with your model after you are done modeling. If you do not lock the last node you have, and you are required to do a character deformation, you will experience a major slow down just like any other program will. However, when you lock them, it will be just like you deleted all your construction history. If you want to clean up your file size further, then you can simply right click on that last node on the Network Editor and “Save Geometry” to save out as .bgeo format and read that geometry back in via File SOP.
If you have turned off the “Secure Selection” lock icon on the left side of your Viewer, you will find that the Edit SOP will allow you to edit your model the way you would do so in any traditional modeling package. I always work both inside the Network Editor and the Viewer at the same time depending on what I am doing. I supposed that is why I never discovered the Pen's movement-RMB problem until you mentioned it.
The Project SOP will project NURBS curve onto a NURBS surface. I am presuming you are working in the Viewer instead of the Network Editor. Create a NURBS Sphere, RMB to complete. Then create a NURBS circle and resize it so that it's smaller than the Sphere. RMB to complete. Now, use the tab key to get to teh Project SOP. Select your NURBS curve first. RMB to complete. THEN, select the Sphere, and RMB to complete. Remember, always look at the top of Houdini for the blue text. THat gives you the instruction you need to complete your operation. Now, you will find a dash-line circle right on the sphere surface. If you want to trim a hole, just hit the tab key again to get the Trim SOP. Select the Sphere which contain your Projected Curves, and voila. I can probably explain a bit more about the trimming if you like concerning how to deal with this in the Network Editor.
The legacy online tutorial will still work in version 5. With that, you will need to modify your workflow a bit by working primarily in the Network Editor, which many TDs and Effects Animators still do today. Even though they are old, they still provide invaluable learning resources to understand what is happening behind the Viewer.
If you do not instance any geometry to your particles, Mantra will render them out as point by default just like RenderMan will.
If SideFX has chosen to go the popular way of all the traditional modeling package and completely dump the procedural approach that they have now, I am certain that many of their user will gladly dump this program due to the lack of justification. Because of what SideFX did with version 5.x, I give to them my loudest applaud.
I understand that learning any new package is definitely painful no matter what you learn - especially when there is no one to ask in immediately. Perhaps your experience is much more painful than mine has been when I first started Houdini v3 (self taught) because of your extensive background and experience in many other packages. With the great flexibilities and powers that Houdini offers, the first step will be difficult. But once you understand it, you will find it streamlined and very straight forward.
Please, just be patient in your learning and try experimenting with the interface first, then the tools, before embarking on making beauty work. Anyhow, with all that said, I hope that you can understand a bit better now, at least from my point of view.

(I'll just let some one take on COPs as I haven't used them that much just yet.)
Most Kindly,
Alex