Visiting the UK with a Macedonian passport

Applicants in Italy submit their applications through a designated VFS and their bundle is sent to Rome. From there it goes to the hub in Croydon (South East England) for decision-making. Historically. 99% of applications are turned around in 15 days.

The UK visa application centre wants proof of my bank accounts, Details about my parents' names and where they live, etc. Is this normal?

Define "normal". It's irrelevant, they don't care what other countries do, the UK Parliament approved the forms and so 'normal' has nothing to do with it. Requiring lots of information is part of WHAT IS, i.e., something immutable, you have to do it or you risk a refusal. First-time applicants might find the process intrusive and confusing, and that can be taken as a signal that a practitioner's help should be sought.

THEY'LL SEND MY ORIGINAL PASSPORT to the visa application centre for approval!!! What if it get lost?

Taking care of documents is the business they are in and loss of documents is an extremely rare event. The work flow is audited by the Chief Inspector, and he hasn't reported a case since before 2008. However... if your passport gets lost, there will be an investigation and if they cannot find it you will need to get a new one (and apply for a new visa from square one).

Is there anybody here who's in the same situation?

There are about 5 million people a year in the same situation.

Or somebody who can tell me if they are so rigorous in practice?

I can confirm that they are rigorous in practice. Parliament has told the British missions abroad to issue as many visas as they can because it helps the British economy. But the visa sections need to be careful about it. So at the moment the process is uniformly rigorous and uniformly fair in applying the various risk assessments. If you cannot provide the materials they are looking for, then don't apply. Or get a practitioner to help you. As pointed out above, the process is all part of WHAT IS.

Others have pointed out that you may qualify for citizenship in Italy. There are no visa restrictions for people travelling on an Italian passport.

It is true: the UK is a difficult country to visit for those requiring visas.

Provide all the information they ask for, and any and all proof of your ties to Italy, and you should be fine if you're financially stable and fit to visit the UK.

In the long run, pursuing Italian citizenship would be your best bet. Currently Italian citizens can enter the UK with no time restrictions, and even after Brexit they'll be able to visit for 6 months without a visa.