Going through Odessa is risky as you are vulnerable to naval assault. Need several Romanian coastal garrisons at minimum.
This is an issue for any southern route that is taken and essentially, you are making a long term commitment to leaving several units off the line, even if you do nothing with the Crimea. Eventually, this won't be as critical as beltway routes are hooked up inland, but it would be a bit for that to take place.
As far as the Crimea goes, it is even more worthless than I suspected in this game. Unless you move into Kerch and surprise the Russians, just cutting the rail line to any port city (Odessa included) does not prevent the Russians from evacuating industry. (Both Odessa and Kerch can be evacuated in this fashion). Essentially, the Crimea is a trap in this game to suck down a fair number of Axis forces in garrison duty to guard against Russian invasions that may or may not come.
Historically, the Crimea had huge implications as far as the political situation with Turkey (at least in Hitler's mind) and also as a potential bomber base to operate against the Rumanian oil facilities. With the air model as broken as it is, it is impossible to determine if this type of campaign was possible or not in the real war. Certainly in game terms, the Axis has little response they can do since interception sucks for the most part and bombing any bomber fields in the Crimea would be problematic at best since after the first turn, trying to bomb airfields is fairly ineffective.
I think unless there are major changes, I see no need to take out the Crimea as the Axis and getting into the choke points should be a sufficient defense to screen off the area. Let the Russians commit a lot of force in a vulnerable position and see if they can get anything done against minimal Axis forces instead of the other way around.
In other news, great conversation on the rail roads.
I also agree with Q-Ball on the need for "beltway" rail roads to help shift forces in theater north and south. Makes a big difference in meeting Russian attacks.