"Enters the battlefield as a copy" and Thryx, the Sudden Storm
When you cast Clever Impersonator, it is still Clever Impersonator and has all the properties of Clever Impersonator, most notably here having CMC 4. It is only when the spell resolves and it enters the battlefield that you choose which nonland permanent it is going to copy and it takes on the characteristics of Shark Typhoon.
Therefore:

Yes, it can be countered (because it has CMC 4)
No shark token will be created because it's a creature spell.
No, it still costs 2UU to cast.