Big update everyone on my problems.
So basically I solved all of them, and the solution was very simple: coil.
I figure it out that when the coil is new, I have ZERO problems, and I can taste much better the flavour.
For the breathing/allergy problems: like a said, solved completely the problem, as long as the coil is new.
For the taste of the flavour: also this one is much better now when the coil is new. Flavour isn't great yet, in fact just for a very few of them I can notice the flavour without to look at the box. I still have no idea how to improve it. I still haven't tried other brands (probably my e-liquid is just terrible?) because they are much more expensive than the ones I use, but I'll try them soon. But I'm already happy now. When I feel like I can't taste anything at all, at that moment I know I've to replace the coil (or if I have the burnt sensation).
The only negative thing on all this? Is that I've to spend a lot of money on coils. I thought they could last longer.. but hey. I can be happy now, the worst time has gone.
I just wanted to gave you this feedback so if everyone else has or will have the same problems, you could propose this other solution.