It does happen, don't worry about it. It doesn't necessarily mean that your actual links are disappearing or getting deindexed. Yahoo, even though it is the most accurate link checker, is still very inaccurate.
To me it makes more sense to first find an affiliate offer/offers that converts, and then build a site around that. On some cases it can be the other way around of course, for example, if you had an existing authority blog, and you found a good product to promote to your prospects.
By submitting an URL, do you mean submitting it to Google? I suggest you don't do that, the indexing will probably take forever. Instead, build links to your site, and let Google find your site through them. That way, you'll get indexed from a few hours to few days, depending on where you get...
If your target market is, for example, Spain, then use a Spanish domain (.es). But if you're tarketing the English-speaking market, it will probably be easier to rank with a com, org or net than with a country-specific domain.
I haven't done redirects to CJ, but it certainly is possible. It's a bit weird though that you can't redirect to your CJ affiliate link. I'm guessing you are doing it wrong... So, how did you do it? I may be able to help.
I bet it's imbossible for anyone to say without seeing the domain. There are so many factors to consider... Why don't you post your domain to the appraisals section?