I got the Quest for New World first, then Quantity idea and then Religious. Conquering the Muslim lands too early seems like an easy way to get bogged down with low religious unity and rebels.
And yeah, the Baltics (and Scandinavia) are pretty worthless for trade, unless you conquer all of it and move your main trade node there.
Governing capacity was not that much of an issue before forming Russia - I just had to use the estates once or twice to up the limit by 100.
I give all 4 estates land rights and still hit that limit. The key is to use vassal annexation as much as possible when you don't have a permanent claim or a special reason to core like a gold mine or project. Diplomatic power is the best national focus if you're under the limit since vassal annexation is better for states, administrative for territories. Just leave the original administrative focus on until tech 5 so you can win the innovative race through the first idea group, then switch to diplomatic.
Russia doesn't lack for quantity, especially after the Kremlin is upgraded (and most especially after you stack Third Rome on top of this) and you start concentrating development from areas you don't intend to consecrate. It gains much more relative benefit from aristocracy if you need a military idea, due to cossacks helping your cavalry so much in the first place, and saving military power means supply depots which help a lot in those cold wastelands. But usually a mana focus for easy Asian conquest is better than picking military ideas and going West where they are actually needed. The only time Western expansion might be worth it is if you get a lucky "border friction" CB before Lithuania converts too many Orthodox provinces or a lucky throne claim, but going East is more consistently effective.
Converting the Muslims isn't hard if you have a properly cavalier attitude towards bankruptcy and debt (you have all those farm estates to build anyway), and are willing to use a skill 3 missionary advisor if needed even if it runs your income into the ground. Combine him with enforced unity of faith and religious edicts and you're good to go even before taking on Denmark just for Bratsberg and Iceland. And early on, most icons aren't worth it when you need more patriarchal authority for early manpower and conversions. And of course get defender of the faith ASAP.
Also, because of fabricating claims on entire areas, and stacking lots of AE reduction (national idea and icon), espionage ideas is very strong for Russia so stealing maps instead of exploring for them usually works better. A few no CB wars in the Americas is preferable to being stuck with exploration ideas. And espionage has very good policy synergies.
And early on, stopping rebels by raising autonomy is not that bad because you have the sudebnik power that reduces autonomy rapidly anyway. And pick the autonomy reducing government reform because most cultures around Russia are small and not worth accepting anyway, and you get the project associated cultures much later. The autonomy reducing reform pays for itself easily and you can switch to the +2 cultures one by the age of absolutism when you need it for the age goal.
Russia's best approach to the colonial regions is of course to seize all of them, since they're so cheap as far as mana goes but a drain on manpower, which Russia has in abundance. And Spain has a couple very strong projects to grab anyway. The key to taking all the colonies is to make sure no old world great powers join an American Indian coalition which is absurd but it happens if you don't watch AE.
