Unfortunately, this ROM is forced to install its own recovery, and even if you install twrp recovery, the ROM will replace the twrp recovery with own recovery with the first restart. The only way is to change the ROM. This means that you should reboot your phone to recovery mode immediately after changing the recovery and install another one ROM to keep the twrp recovery for yourself.
1. You could turn-off the recovery updating feature in settings or initial setup wizard.
2. Once you have done part.1, you can install your 3rd-party recovery from fastboot mode without issues.
3. Maybe you should look more carefully when you tapping NEXT while initial setup process.