XI didn't start with an AH, and they've pretty much said that they'll do an AH (or something like it) eventually, though until they make changes fixing the retainer system the system as it stands now is pretty much useless.
As for the one-shotting mobs issue, you must've been in Gridania. Lots of complaints about Lone Wolf placement. I'd done a few rank 10 leves in both Ul'dah and Limsa (in OB) and hadn't had the same sort of issues. While yes you'd go past very-red mobs, you weren't having to fight right in the middle of them or be forced to go through them (open terrain and mobs that wander around more). Haven't been able to tell if Gridania's fixed yet, sounds like they've modified wolf placement and replaced a number with yarzon, but sounds like you can run into cases where you'll be near both or something. :\
FFXI: Triane [Caitsith], Retired DRK75, THF75, RDM71
FFXIV: Triane Rhiga
[Besaid] Pugilist, Marauder, Fisher