I've actually seen Prots get nothing on 95 Theses multiple times. It's not as bad as you might think, since such a failure virtually ensures that no one will bother them for a while.
That being said, it's still bad luck, and it's better to get an electorate to start off.
This is a good point. Timing and diplomacy are all in this game for me. A power that gets off to a great start is likely to feel attention (and armies / malignant card plays) turned its way sooner rather than later.
As the Prots I'd rather have a slow first turn, plead for sympathy (while highlighting how well the Pope is doing), and quietly get my game in gear ready for the Schmalkaldic League on turn 4 and the English Reformation thereafter.