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For the first question, it depends. Always upgrade your own holdings first, obviously, but if you have nothing else to spend gold on, it never hurts to help your vassals upgrade their holdings, which makes them less vulnerable in raids, and gives you more taxes and levies.
Say for example you get 50% of the levies belonging to a vassal. If a building you pay for in their county raises the levy count by +150, you are effectively only getting 75 more levies from that building. The same goes for taxes. And since you aren't getting the full benefit of the building, it will take far longer for you to break even on the purchase.
You should always focus on improving the counties you directly hold first.
Then focus on lands you will soon directly hold (by revoking titles).
Then improve the lands of your direct vassals.
If you have the gold, definitely be building new holdings in your counties, starting with your capital county. Yeah, that means more vassals for the temples and cities, but it also means more income and levies for you.
Yes. One thing to consider is that you can't change the buildings in temple holdings once they are built (you might be able to with cities if you kick out the mayor temporarily?).
Therefore it is worth your while to fill empty building slots in these holdings with the level 1 buildings you would want. I've never seen the AI change these once they are built so you'll be locking them in to upgrading them.