- Once you take over a templar den, three things happen. One, you can freely run around there, as there is no more annoying red area where all the guards go crazy if they see you. Two, you can buy real estate and make money from that district. And three, templars may attack you there (causing a den defense), but only when your templar awareness thing reaches 100% (which is pretty easy to do when you buy real estate). If it reaches 100%, quickly get it back down to 0%, and that should be fast enough to avoid a den defense. I was unable to prevent it only one time. Not that it's a huge deal... though if you lose the den defense, you'll have to kill the captain again, etc.
(OK, four: when you get a templar den, you can also recruit three [I think] more assassins.)
But if you get a fully leveled master assassin in there, then that den is locked and can't be attacked. That takes a while though. The rules for this weren't that clearly explained, but IIRC it works like this: First, get a guy to level 10. He can now be assigned to a den (free dens will show as Master Assassin icons on the map). Now you do his first mission. Once successful, he can level past level 10. Now get him to level 15. That den's icon should show up again. Now you do his second/last mission. Once successful he's a full master assassin; therefore the den to which he's assigned is now locked and is safe from templar attack (den defense).
It's a pretty interesting system, even though it is frankly overkill given how easy the game is. Hopefully they can put a refined version to better use in a future AC game.
- The fastest way to level up assassins is through the map game, yes. Also they gain experience when you use them in a fight, but I'm not sure if it's that much. The map game has all these intricacies the more you play it... you can assign master assassins to cities and all that jazz. Most of it is honestly overkill.
BTW, there is an excruciatingly detailed manual in the Animus Desktop menu.