Getting the pistons to screw into the calipers is almost impossible, beginnning to wonder if the pads are too thick, though they did go back in eventually.
Why?..... I did mine recently, and was surprised just how many turns it took to retract them fully....just keep going until they wont go in any further.
I would have thought that with the pistons retracted, and the pads go in without using a hammer , ie:- by hand, even tightish....they would bed in quite quickly without creating enough heat to seize them up.
Have you got the original discs on, and what new pads are you using?
I also would find out what is missing on the brake pedal and fit it, the pedal not coming back fully does worry me.....I have just been down to the garage to check my brake pedal, and there is no free play at all. Suggest you check this out asap.