I agree with what Loki said in general. That said, I'm a micromanager of every aspect of the game.
To your original question, "How much am I missing out or hurting myself", those actually are two questions.
How much am I missing out? It depends on what you're looking for in the game. If you want the game to move as quickly as it can (which has limits), then you're best with 100% AI control of the air war. if you want something to absorb a lot of your free time (and you don't mind doing a lot of clicks every turn), then you're missing out on that time spent with the game.
How much are you hurting yourself? I've seen the AI make silly or bad decisions despite the priorities I set. I don't trust it as far as I can throw it. I'd much rather set 1) target cities), 2) target industries, 3) air groups to fly, 4) loads to carry, 5) staging bases, and 6) flight paths to avoid flak. That last one can be a real gotcha if the AI picks a direct route to Cologne, Frankfurt, or Schweinfurt that passes over the Ruhr, or to Leipzig that passes over Hannover/Braunschweig. In my opinion, and with no quantative testing to proof it, I think you're giving up double digits of combat effectiveness and also of own losses by using the AI.
I've been playing the game since beta in 2013, and I've probably played 7-8 1943 campaigns in total, not necessarily even finishing them all. And I've enjoyed every minute. But that's me.
I'm not trying to convert you to my style. You have to find what you do and don't enjoy about the game. Definitely focus on the ground war to start, and then decide if you want to dig deeper into the air war.
Thanks for the feedback Cary.
I think I'm going to let the AI carry out the directives, but I might alter a few things here and there. The flight path over AA is a good point, thanks for that.
I know this game is a time sink, but I don't have hours and hours to pour into it as I have other hobbies, but I am going to take my time with this game. I know you can't just rush into things and expect quick results. I'll take my licks, I'm sure, but I'll enjoy the ride KNOWING it's going to be a long one.