Re: May be I will never understand...
I think there is no problem in calling anyone bhai / baji out of respect or to be on the safer side (so that in daily life any stranger might not misunderstand your politeness as an "indication" or "initiative" of a romance)
I am also not against marriages between cousins because that is allowed in Islam. The only thing I don't understand is when a person spends his whole childhood with a cousin treating her like his own sister and openly claiming so, suddenly changes his mind and feelings when the topic of marriage is brought. If he had not spent so much of time together with her treating her like his sister, behaving in the same way he behaved with his own sister, and telling people that there is no difference between her and his sister....etc. In that case the point of accepting marriage was understandable and made sense.