Ok, first of all here is the map without all the garbage on it to ruin the look of it.
Now, to address some of the concerns in no particular order.
The Westeros continent is roughly the size of South America... maybe that will help put into perspective the detail. There are no strongholds, castles, citys, villages, ports, roads, etc, simply because they wouldn't be visible at the altitude the map is being represented.
I can't remember the specifics of The Wall, but I know it is 300 miles long and 700 feet tall. It's very wide as well, but I can't remember the exact width... even so a little exageration wouldn't be out of order to make it clearly visible. Not that I feel The Wall is exagerated. It is there to protect the realm to the south from the threat beyond the wall. Giants, mammoths, wildlings, others, general nastiness. Think of it as Westeros' Great Wall of China.
In regards to the water, I'm not quite sure what you expect here. It's blue, it has various shades of blue to represent depth. Again, think of the altitude.
A small map will be ready when gameplay has been decided upon. The map has been designed from the beginning with the small map in mind. If there's any minor border tweaks that need to be done on the small, they wont affect gameplay so it's irrelevant.
Believe me, I've gone through a number of fonts to find the ideal option. Yes, it's not overly interesting, but it is clear and shows up well at small sizes which is something that was very important. Besides, mix a fancy font with varying colours all over the map and it's going to look a complete mess. I already dislike how much the font detracts from the map.
Legend is only there to generate discussion about bonuses, it is in no way representative of the final design. As long as there are no major overhauls this time like a complete border redesign, I would hope to include an updated legend and the introduction of a title with the next update.