well when i fitted my freezer 7 to my mobo, it wasn't hard at all. ok you do have to apply some force when you're clipping it in, but not a massive amount. however my mobo is different to the one you specced, so i can't say really, you might want to get an opinion of someone who's fitted one of these to this brand of mobo before. You'll know when it's in though because it makes a nice 'click' and when you've got all four of the plugs in, there should be no movement at all.
as for the thermal compound, that cooler already comes with some pre-applied, so you shouldn't need any (well, I didn't anyway), and I've not had any trouble with cooling. And basically the thermal compound is like a liquid conductor (well it's not exactly runny; it's more of a gel) that conducts the heat off your cpu and onto the heatsink. I think modern thermal compound is made partially from silver so that it conducts the heat better.