With regard to Zathrian, I think the moral of his tale is the same as that in Last Flight, when you use blood magic, whether your intentions are good or ill, there is an inherent element of risk involved as to the outcome, quite apart from the possibility of possession. You think you are controlling the outcome but it may spiral out of control in some way that you did not foresee. In Zathrian's case he wanted to curse the humans who killed his children but it ended up being something that went far beyond that and even affected his own clan.
In some ways Merrill was the same, it seemed like a simple thing, cleansing her mirror with blood magic and she thought there was no problem provided she was willing to accept any negative elements herself, but it spiralled out of control and could ultimately end in the death of her entire clan. Still I don't want to clog up an elven support thread with a debate on the merits of blood magic.
No race or group in Thedas seems free of prejudice; there is always going to be someone who feels someone else is to blame for the situation. I quite liked playing the elf mage in DAO because it seemed to me that all the normal prejudices against humans could be dropped in favour of a specific complaint about the Chantry/Templar's treatment of mages. Effectively humans and elves had banded together against a common foe, similar to the Grey Wardens where dwarves are also thrown into the mix whatever their caste. As a consequence my elf mage found the transition between the two far easier because she was already in that sort of mind set where you accept others are equals no matter what their race or class in life. However, we have subsequently been shown that in fact in the Circle of Magi that was not the case and the children of nobles seem to get far better treatment than the children of human peasants or alienage elves.
I think there is scope for not being a xenophobic Dalish. Mahariel's father was a Keeper who spoke out about having more contact with and learning from humans. We are constantly told that the clans are not the same and have been growing apart over the years. The very fact that our Keeper wants to send a member of her clan hundreds of miles to check out some Chantry gathering suggests that she is not a complete isolationist or a) we would never have heard about the gathering in the first place and
she would simply retreat back further into the forests to await developments.
I don't think we necessarily have to be a First. The brief only says we are an apprentice to the Keeper. If that automatically meant her First, why not say so? A Keeper could have more than one apprentice if there is more than one mage child in the clan; they would all need proper training. The brief also only says we were raised in the clan, not born there. So you could have come from another clan or even the alienage. Until I find conversations contradict my background, I am playing my elf mage as an alienage elf whose family smuggled her out to the Dalish when her gift became apparent because they would rather lose her to the Dalish than the Circle. So she has been raised from a small child in the Lavellan clan but she has never forgotten her own family or what they suffered in the alienage. That way I have a Dalish elf who legitimately cares about the city elves. If anything this could account for why she isn't the First because she is not seen as orthodox enough in her thinking and also why the Keeper chose her to be the spy, because she has some knowledge of interaction with humans and she could also spare her. I do think that if there were only one mage apprentice in the clan, the Keeper would not be sending them so far on such a risky mission.