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Pewt

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No, in this case I would get the message that I lost my claim. Everytime I checked the tooltip stated we would form a PU, then the king dies but sometimes the weak heir succeeds for whatever reason. I only claim thrones with weak heirs or with very old kings without heirs.
You don't lose a claim if they get a weak heir, and a weak heir will inherit instead of you. As I said earlier, the ability to claim the throne, and the Disputed Succession list, is intended for the CB portion of the "Claim Throne" diplomatic option; the chance to inherit if (and only if) they have no heir at all is merely an extra bonus if you're lucky.
 

Pewt

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I don't think the AI sends missionaries with really small countries. At least, I've never seen it happen.

You should keep it pagan (when it's vassalized), though; when a pagan province is converted it becomes your state culture, so you could annex it and then make it into your culture easily.
 

Seelensturm

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When a country has no heir but a royal marriage with a country with more prestige, three things can happen on ruler death:
1. A noble from the other country gets the throne (same dynasty).
2. A personal union is formed.
3. The country gets inherited.

What determines what will happen? I already tried to lower their prestige below zero and increase relation, but the displayed message, about what will happen when the ruler dies, did not change.
Is the displayed message reliable at all? I read it is not, e.g. when a ruler in a personal union dies there is always a chance to inherit regardless what the message states.