When I said that you should limit UV exposure, I mean try not to lay out in the sun tanning, and absolutely no fake baking. Try to enjoy your sports, jogging, and other outdoor activities outside of the peak sunshine hours (10am-4pm). Also wear clothing that covers your skin. And always,always, always use sunscreen. Preferably something that is formulated especially for sensitive skin, and won't clog your pores.
Yes, you should exfoliate your skin. It's very important to keep in mind the active ingredients in your exfoliant and in your skin care products in general, and the frequency of it. I think you should give your skin a rest from exfoliation for at least 2 weeks, and see if it's less irritated. I know, we all love that baby soft skin, but overexfoliation is NO JOKE! If you beat your skin up now, although seeking skin perfection may not seem like such, the results will not necessarily be apparent today or tomorrow, but it will in the long run. Also try that cooling and calming treatment, I think it may help. Let me know how it works for you.
Rosacea is a chronic disease that is usually found in adults. Sufferers are subject to "flare ups" and there skin's condition usually gets worse over time. There have been instances were rosacea has gone away, but it usually does not. Let's just hope that you don't have it. Although I havn't seen your skin, from what you've described it sounds as though you may just have sensitive skin which can appear worse in fair-skined individuals, accompanied by a bit of hormonal breakouts.
I recommend seeing a professional that can take a good look at your skin and customize a treatment and home care plan for you. If in fact you do have rosacea, products they suggest will probably include gentle enzymes, and/or Salicylci Acid which when used correctly is preferred for rosacea because of it's benefits which include: exfoliating (helps keep pores clean), anti-inflammatory (helps calm redness), and antiseptic (helps treat any bacterial blemishes). pores.
Depending on the ingredients in your self-tanner it may or may not be okay to use.
And I've never heard of thinning hair being associated with rosacea, doesn't mean that it couldn't happen though.
I hope this info helps, feel free to ask me as many questions as you need pertaining to your skin.