A lot of the witches and wizards are Muggle-born, meaning they didn't know they were witches or wizards until they got their letter from Hogwarts. A bit late to go changing their names then. Maybe their parents don't want to give them names that will stand out too much among the Muggles. (My own first name and middle name are "Christian", and yet I'm not a Christian - I wasn't raised one, and think the whole concept of having an invisible friend in the sky who sees everything you do is laughable. I don't see any logical disconnect here - my parents simply gave me names that were fairly common in the time and place I was born.)
It does seem a bit odd that wizards celebrate Christmas. Maybe they just like receiving presents as much as Muggles do. But Christmas was not originally a Christian festival. The early Christians hijacked pagan midwinter celebrations. It's no coincidence that Christmas is around the shortest day of the year, when the days start to get longer again, symbolising renewed hope and new life. Maybe the wizards remember the earlier traditions, and are celebrating the true meaning of Christmas. You'll notice that the wizards don't celebrate Easter. Hogwarts takes a holiday around then, but that's probably to fit in with the Muggle school calendar.
Voldy doesn't have a time turner. We don't know how powerful they are, or how far back in time they can go. Hermione never uses hers to go back more than a few hours - maybe that's the limit. Even if Voldy could have gone back and had another go at killing baby Harry, he wouldn't have succeeded. He couldn't do it when he was at the height of his power, so he couldn't possibly do it in the first book, when he was almost dead.
You might also want to look up "grandfather paradox", a common concept in stories about time travel. This is named after the question, "If you had a time machine, what would happen if you used it to go back and kill your grandfather before he met your grandmother?" You would never be born, so you can't go back and kill him. But then if you don't kill him, you're born after all, so you can go back and kill him. The paradox suggests both outcomes must be true at the same time. Voldy using a time turner to kill baby Harry is a more complex example of the same paradox.
EDIT: If Voldy wanted a time turner, he could've got one, or told one of his servants to steal one for him. That suggests a time turner wouldn't have been any use to him - or, as other answers say, he was too proud to try.
There are passing references in the books to Muggle persecution of wizards. It stopped a few hundred years ago, when the wizards decided to withdraw from the Muggle world. There's a bit at the start of one book (can't remember which) where Harry's doing an assignment on why burning witches at the stake was a pointless thing to do. (I think he said the witch could just cast a charm that makes the flames near her cold.)
Those who are saying "it's just a story" or "it has to be like that, otherwise the story wouldn't work" are missing the point. A story has to have some sort of internal consistency and logic, otherwise it's worthless - the author can make up whatever crap they want to get the heroes out of whatever tight spot they're in.