Yeah, her command grab has invincible startup. Stupid, isn't it? I've seen some DP's go through it. Benimaru's for example.
It's not as fast as some of the other ones though (Yuri/Clark/Daimon), but it's the #1 reason why athena is scary when she corners you.
As far as combos go, I never really go for more than 1 meter or 1 drive cancel in a combo, since I like to run Athena 1st to build bar for everyone else.
In the corner,

,

,

,

should be your #1 priority. Great damage, no meter, and leaves them cornered.
Unless you're just doing close C->A fireball as a block string, I wouldn't go for that A fireball, Stand C at all. It's too risky to use that link in an otherwise guaranteed combo.
Her EX Super is almost never really "worth it", unless it's a situation where the HP DP or the level 1 wouldn't hit. An example I can think of is her midscreen combo:
close

,

,

,

,

+

Any other time it's probably best to end w/ C DP.
For reference, C DP does 165
Shining Level 1 Does 210
EX DP does 233
EX Shining does 320
Psycho Medley does 410