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1) On my way there, I received several radio messages from HQ telling me to "be more aggressive". What was I doing wrong? I was running full speed ahead on the shortest route possible.
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As I recall, if you send in status reports to BDU and you have not sunk anything/much you will get a canned response that says, "Be more aggressive!"
It doesn't matter how fast you were going to get to your patrol grid or what route you take. It's a canned response to how much you have sunk. If you've sunk stuff, it will say something like, "Keep up the good work as long as fuel and armament allows". It may be different in stock SH3 (I use GWX).
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2) On my way through the Skagerrak and near the coast of Norway I encountered a couple of Scandinavian merchant ships. There's no easier way to identify them other than to get within visible range of the flag, right?
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Yup. There are a couple of cheat ways, though. You will not be able to go to maximum time compression in the vicinity of an enemy ship. You will be limited to an even lower TC if you are spotted by an enemy ship. Again, details may vary as I use SH3 Commander and GWX, but I believe this will be true for stock SH3 also.
Of course once you shoot someone they will become hostile regardless of nationality.
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3) Then I encountered an English C2-Cargo ship heading into the Waddenzee. I followed it and put nearly all of my torpedoes into it, sequentially. I wasn't doing a great job, but four of them hit. Ship's burning all over, but it didn't sink. I circled it for 6-8 hours, nothing. During the Naval Academy courses, ships sank basically after one torpedo hit, at *worst* needing a second one to finish them off. Is this normal? How many torpedoes should I even budget for a ship? It's clear that this was a misuse of my budget of torpedoes. I couldn't man my deck gun because of "rough weather".
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Generally, two torpedoes will take down any merchant. However, it does happen that sometimes they linger on. I vaguely remember something about a bug where multiple damage hits on the same "compartment" don't register as increased damage. So try not to put all your torps into the same hole on the side of the ship.
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Also, should I have engaged the ship at all or just ignored it and headed to my target sector?
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Sink anything you come across that is a bad guy. You don't
have to go to your patrol sector to sink bad guys. In fact you might not sink any bad guys in your patrol sector. I go to my patrol sector primarily to pick up the renown for doing so. GWX removes renown but I added it back.
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4) After I had fired my first 5+1 torpedoes, I could not get a good angle at the ship with the reloaded torpedoes. I circled the ship a bunch of times and approached it from all angles, but the arrow on the periscope was always red.
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Your best approach is always to point your submarine broadside to the enemy. This is called a "90 degree shot" and it is the optimal firing solution.
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I was lying 600 meters away from the ship in a position like the below a few times, which if I understand correctly is the perfect attack position (90 degrees). Red arrow on the periscope, and all torpedoes came out the front of the ship but then veered off in random directions when I followed them on the tactical map.
C2
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| Sub: bow <------- stern
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Hmm. Sounds like you did not have your TDC set properly or something. Maybe you engaged manual TDC mode? If you go to the attack map (F6) you will see a line that indicates the estimated torpedo track for the current firing solution.
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5) I noticed that when driving normally for 36 hours or so the crew on the stations gets very tired, there's a red exclamation mark next to them. Do I have to manually switch out everyone into the quarters every few hours? If so, how often? The Naval Academy didn't mention anything about that. That seems incredibly tedious.
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Most people agree with you on the tedious part. It would not have been the captain's duty to create or enforce crew rotations.
But this is the way the game implements "crew management" and how you get rewarded for building up a good crew. After each mission you can train up one petty officer or officer with a new skill. The more skills they have the more efficiently (faster) tasks can be done. When a compartment is max on the green bar, it is working as fast as it can. So you want the most skilled people in those compartments.
Once your crewman earns the 3rd highest medal (I forget what it is), I think, they will no longer fatigue. They become supermen.

So your goal is to have outstanding missions so you get to hand out medals and so build your invincible, tireless crew. It's not realistic, but it gives you a sense of investment in your boat and crew that you built up through successful patrols.
There are mods that disable fatigue. Also, fatigue does not happen (nor rest) at high time compression. Only below 32X TC does it apply, as I recall.
Steve