You're right. This rule's whack.
So a Hatchet is a Melee weapon that has the Thrown (10') property.
You can make melee attacks with it like you would any other Agile, Sweep melee weapon. That means that you always want to keep attacking *with the same weapon* For this reason, my dual-wielding characters name their weapons. It makes it significantly easier to keep track of.
1. "This weapon" does mean that particular weapon. Name them. Make one Cold Iron, and the other Alchemical Silver, or whatever else you want.
2. The text on Thrown says you make a "ranged attack with it," so Ranged Reprisal might work with it (you would have to throw it, though). Ask your GM about this one.
3. They are still melee weapons, and the SRD just says "make two Strikes", so it would seem that by RAW, you could chuck them at someone or swing them.
4. The Blade-Ally would have to go on a Hatchet or Starknife (Javelins would be a Ranged weapon. But they stink anyways. Use a hatchet.) And Blade-Ally doesn't have any text saying that it breaks the "only thrown weapons" requirement on Returning.
Thrown weapons are all kinds of cool, and I could see Champion being actually pretty good at this (especially if they release some god that has a Hatchet as a favored weapon). Almost worth it for Divine Ally and Retributive Strike.
As is: Start Ranger or Fighter and maybe pick up Champion Devotion. Use hatchets, take names. Be a beast.
Or: Start Liberator of Desna, Ranged Retribution, leave Str at 10-12 and focus on Dex and your defenses. Avoid melee if you can.