OOC
All good questions, what I say is certainly not official, but I hope it's helpful and won't contradict anything from the ST, or just be incorrect (the game is new to me too). But I'm not sure what we're ignoring, other than the other Pantheons. Starting off as a pre-Visitation character leaves out the goodies you get later, but that's by design.
The Phrases should help focus your character a bit. Since we're not sharing what we actually are playing, I'll share some from a concept I had for a different campaign. He was a Scion of Thor.
Concept: Modern Valhalla Conscript
Origin: Hick one day, soldier the next
Role: Air Force Ranger gets his wings
Pantheon: "Show me what you got Kid" son of Thor
With these phrases it should give you some ideas on what Skills you want to be great at and what skills you want to basically have. So for Origin, he was a hick living in the Midwest and the country, so I figure Survival, Firearms, and Pilot. Then he succeeded at the Air Force Rangers, so I'll add some more: Close Combat, Athletics, Leadership.
What skills am I supposed to pick for my Pantheon path if I'm not picking a Pantheon Path?
You should actually pick your Pantheon Path, and with the Pantheon you get 2 already, for the Theoi it's Empathy and Persuasion plus one you choose. For this example character he is from the Aesir and they get Close Combat and Occult and then pick one, I'll choose Integrity.
So the phrases with the Role should go hand in hand with the skills you want. To be honest, you might pick the skills first and then come up with the phrases, either could probably work.
The Tag is something that will get used a lot. It's used for people, adversaries, weapons and gear. Take one of those (let's go with a weapon, a sword) it's going to have certain Tags that describe what it does or has, including drawbacks. If you take a look on pages 122-124 it gives lists of weapons and the tags they get. For example a weapon like a sword has the melee Tag, it's meant to be used in close combat. It also has Lethal and Versatile which hive other qualities to it.
There's Tags for people too. These give them special benefits or descriptors. With the PC I pitched above, he gets Contacts (a person or people) that are attached to the Role and Origin he came from.
This starts out as 1 person for the Origin and 1 for the Role but can be increased (I think). So for my Contact from his origin I go to page 100, which has the Contacts. This is where I'm a little uncertain about how much I get. I made 2 Contacts with just the baseline benefits. That's a 1 dot Contact and 1 Tag for that one.
So for his Origin I made a Contact of an old friend he played football with, and give him the Tag of Loyal. As things improve and I can add extra Tags to him I'd likely add Informant maybe.
For his Role I'll take a basic Contact again and then add the Tag Numerous, and say these are people from his army days, and if I can improve them I'd likely give them the Dangerous Tag.
For Connections, this is basically something that your character should logically be able to have access to, usually resources, equipment, information or access. This can be used sparingly during the game and it can be over used.
So for his Origin I'd say he might have decent access to food and shelter as being a bit of a hometown hero, maybe people know and remember him well and will be willing to do minor favors.
For his Role, as a former soldier I'll say he has access to certain specialized gear and weapons, but definitely has to be careful not to abuse this.
I hope this helps and I really hope I didn't get this all wrong...but it's how I've been reading it and the ST seems ok with my concept and character sheet.