Welcome Lefteri
As said, a lot of people in here have done the conversion, admittedly quite a few who further pushed the boundaries have sold and moved on - however their projects are still active. I believe a guy named Andy (running a 400bhp Clio) created a conversion 'how to' thread in the relevant section, make sure you become a paid member to access it, good read.
Speaking of engines and considering you are thinking to go fully forged it'd be pointless to pay the premium for a 250 one, VVT won't be working anyway (unless of course the tuners have now managed to get it working? Someone to please correct me if I'm wrong). I wouldn't personally go crazy in a quest for an R26 box (no fit for the M3RS as suggested), its diff doesn't work miracles, it just helps things. I'd buy a dirty cheap megane box, strip, rebuild and fit a proper plated diff. This is a must IMHO.
Chassis doesn't need strengthening, it's great. Of course half cage would certainly be beneficial. Remember, you are building a fast road car with the intention of driving it in the famous Greek roads, last thing you need is a stiff and rock solid chassis. I'd spend my money on a bespoke damping - full coilover - suspension instead with compliance in mind.
Brakes, echoing Sean. OEM 4 pots are more than fine assuming they are in top notch shape. Lots of available compounds to choose from. Servo is also fine but need to be protected by the increased temps, they've been failures. But again - and as mentioned in the Greek forum - it's on the other side here, over the manifold.
Your budget is high which is always a good thing and cars here in the island are cheap. Another shout would be to wait for a megged clio to go on sale and buy it, bring it to your standards here in the UK to any of the above mentioned tuners (ED are also traders in here), then drive it (or transport it) to Greece and swap the whole lot across as labour there is dirty cheap. Just an idea
We'll also be in touch over the phone mate, now go and work on that Ultima! When would shakedown day be then?