1 I interpreted her little talk more or less the same way.

One thing to know is that the batch of translators subbing this are evidently from the "picked up Japanese by watching Naruto" school, so a lot's going above their heads.  And by extension, yours, since you're reading their interpretations of the lines. 

In the beginning, when Kyubey is talking to Madoka while Homura's fighting, he says something that none of the TLs I saw picked up on (And I watched a couple, since I've got easy access and what you're writing here didn't jive with my recollection of the show.) 
"Shikata nai yo.  Kanojo hitori de ha ni ga omosugita." 
Which means something like "This was inevitable.  It was too much for her alone."  Every TL I saw missed the 'alone' part.  And the past tense, for that matter.  (Bunch of other mistakes too, but that one seems relevant.)

From this and a few other things in the episode, this was the conclusion I drew:
At some time in the future there's going to be some kind of catastrophe, and Homura alone won't be able to stop it.  What we saw in Madoka's dream is after that disaster, with a shattered world ruled by some kind of abstract evil.  Kyubey thinks that Madoka, for whatever reason, can stop this, so he wants her to be a magical girl.  But whatever being a magical girl means, it carries some kind of price.  It might be like you're saying and that she lives in a matrix-style illusion, and that becoming a magical girl means finding that out. 
My guess was a little different though.  I think that whatever the magical girls are fighting, it's very, very bad.  Cthulu-style sanity wasting bad.  The kind of evil that would think nothing of hunting down somebody's friends or relatives to devour, just on a whim.  I think that Homura lost her friends and family to it, and she's trying to warn off Madoka to keep her from meeting the same fate.


Either way, it's a really interesting anime, and head and shoulders above the rest of the stuff this season. 

2 Another thing I haven't seen anyone commenting on so far is the background music.  Right out of the gate, it was terrific, and it never let up through the entire episode.

I also got that same "you're really in the Matrix" vibe from it. The more you looked at it, there were just too many things off-kilter otherwise.  The world was a little too artistic, a little too fantastic.  The school, mall, and music shop were just too amazing-looking.  Tea ceremony being an envied middle-class pastime?   The strange-looking construction area, even before it went psychedelic?

Are magical girls in this world really just people who can hack the Matrix?

3 I think the main reason people haven't really fallen over themselves in commenting regarding the music is kind of the biggest problem with Madoka as a show as a whole - as interesting as it all is, it's also incredibly derivative of the prior works of those involved. My biggest surprise, both positive and negative, with the first episode of the show was how much it was exactly what I expected from a Shaft produced, Urobuchi penned, Kajiura scored magical girl anime.

I mean, I'm a bigger fan of Yuki Kajiura than most - I own about 70% of her OST output (I'm a bit lower on that when it comes to pop-music she's produced), but it's pretty much impossible not to admit that she lacks the kind of range Yoko Kanno has. Most of Kajiuras OSTs sound remarkably similar.