Is there selection against long proteins and long genes?
Is there evidence of selection against long proteins and long genes?


I am not aware of any such evidence and cursory googling did not reveal studies that researched a correlation between gene selection and gene size. However,  the larger a gene, the larger the probability of a deleterious mutation within said gene so I expect that there is some limit to the size genes can reach and be stable through evolution.


  Are there proteins that are much longer than Titin in other species?


To date, titin is the largest known protein


  Do I exaggerate the cost it represents, either by not considering that
  an average rate (such as transcription rate) is not representative of
  the actual rate for typically long gene/protein or by assuming that it
  is costly to create tons of mRNAs that won't never be translated?


I really like how you estimated the time cost of producing titin. However, as you already suspect, I believe that you have several flaws in your assumptions. 

First of all, the stability of mRNA and proteins varies a lot and depends strongly on their sequences. The half life of proteins can vary from minutes to Years. The Titin protein has a half life of ~70 h.

Similarly, mRNA stability varies from minutes to > 12h. Especially household and structural genes were identified to have mRNAs with long half lifes.

Both protein and mRNA stability is not simply governed by random decay but rather by tightly regulated degradation. For proteins, an example is ubiquitinylation which is a process where certain amino acid sequences are recognized and cause the protein to be ubiquitinylated which in turn triggers the degradation via the proteasome. For mRNA, the secondary structure is crucial since certain loop structures can be recognized by RNAses. Thus average protein/mRNA lifetimes do not help to estimate the actual turnover of a specific protein.