I'm pleased you are catching on to all these themes, for they are absolutely intentional and it tells me I am on the right track in terms of conveyance. The "Thor" theme is a good one, as it helps us identify with the antagonist even though we know he's the bad guy. I'm not familiar with Samurai X, so I'll take your word for it. There is definitely a mentor relationship being developed. Mentors are some of the most interesting characters in movies like these, e.g., Gandalf, Obi-Wan, etc. Of course, we all know what happens to these characters.
The scene with Link was born out of a desire to show him as having natural athletic abilities. The fairy thing came to mind, partly from my own experience. How many times have you pressed the "bottle" button to catch a fairy only to miss and end up "using" the fairy instead? So, I expanded that idea into the notion that fairies are highly elusive.
Of course, heroes need to lose something to get their arc going. Perhaps it's cliche, but it's important to us to see how Link handles that loss in the future. I hint at the two possible roads: becoming consumed with vengeance or turning that loss into a force for good. He will, of course, be tempted to seek revenge, especially when he later encounters that same Gerudo.
Speaking of which, that was a happy accident. I didn't intend on the whole burned-village thing at first, but when I started to write it, the Gerudo literally just appeared without my say so. I know it sounds weird, but sometimes when I write, I feel like the story exists independently from me and I just "discover" it.
At any rate, your feedback is invaluable. It tells me I'm on the right track, but more importantly, it informs me of all the plot expectations the first 15 minutes creates. I shall endeavor to meet those expectations.