You are missing what happened, and more importantly you're missing how Pain usually operates (operated).
And finally, you didn't get quite well what happened in Pain VS Jiraiya.
1) First off, what Jiraiya did.
His choices were to go away with the two frogs immediately, stay with the two frogs and try to gather the info risking to lose his life, the two frogs, and the intel gathered that far (like the body he took down) or finally, to send the info away and try to collect more and return home alive. He went for the third option, but Fukasaku choose to stay with him, which is why when he realized he wasn't going to make it, he could use Fukasaku to send out even more info. Jiraiya never had the chance to evaluate if the last message was worth his life, which is the evaluation you are making - his optimal scenario was to come back and tell everything he discovered in person or possibly take down Pain himself, the worst case scenario was coming back without any substantial info and with Pain still at full strenght. When it became clear that best case scenario wasn't going to be he tried to avoid worst case scenario by sending Shima away, then Fukasaku.
2) That said, how does Pain fight?
Pain usually attacks with one body, adding up more and more if they are needed considering the opponent's strenght. The core trick is attacking again once the opponent thinks he took everybody down, and then attacking once again with the bodies the opponent SUPPOSED were destroyed, who he restores with Naraka Path's ability. He yells "We Are Pain, We Are God" to enstabilish the idea that there is an undefined number of Pain who can add up over and over, and can resurrect over and over. If by any chance all Six Paths are destroyed, Nagato shuts off contact with the Six Paths and retread, hidden to sight by Konan. A sensor would see through Konan's camouflage, but sensors don't know how the Six Paths of Pain works, they don't know there is some Nagato guy to look out for.
3) What happened in the fight with Naruto.
Pain didn't spill the beans on his secret while chatting with Naruto, as you seem to think. Pain said "I'm not the last Pain" because he wanted to stick with the usual facade, that he is immortal and is many bodies keep coming back even if you take them down. Even in case the last body was destroyed (something he considered highly improbable) he was trying to get Naruto's spirit down by assuring him Pain would come back. It is then that Naruto says "take me to the real one" and Pain replies "oh, you know that", meaning that the immortal-god facade is over.
Then Naruto wins, then he uses the chakra receiver to find Nagato. Why does he know of the chakra receiver? Because Katsuyu told him. And how did she know? Because Ino, Shizune etc. told her. And how did they understand the reason the body was pinned with chakra receivers? Because they knew the body wasn't a real shinobi but just a puppet, because "the real one isn't among them".
Kishimoto rarely uses panels to explain in depth how things work, and surely throws in a number of plot holes and forced narrative devices, but sometimes things can be explained with a bit of attention.