Hi
Suleyman is touched because she chooses to be a muslim, but being muslim is not the sign of freedom. Padishah needs to set her free because she is still a concubin. The thing is after being muslim she can not be with him without being married religiously. This is the trick. Lots of historians agree that she became muslim to get married to Suleyman but we can not be absolutely sure about that.
No Hurrem was not the first but she is the one in favour of Padishah and the one who converted. Not all concubins can be with Padishah, so not all convertions of concubins matter.
Valide Sultans are muslim but they are not particulary have a concubin origin. They may born in a muslim family. They are generaly daughters of noble families.
No you are right they can keep their religion, no one could ever force them to convert. Forcing someone to convert is against islamic belief. Besides, they are not that slaves, if they don't want to stay in palace they can asked to be married. They get married with high ranking soldiers or pashahs anytime they want.
Hurrem is the first concubin to be married to a Padishah but before Suleyman and Hurrem there are several Padishahs who got married. But they married with daughters of noble families not with concubins. Pretty complicated the Ottoman Empire