Random Speculation spun out at ungodly hours:
1) Based on the autopsy image, I am inclined to believe that Ethereals are a caste or offshoot of the Sectoid race. Their bodies have atrophied as their psionic powers improved.
2) Sectopods were originally designed as counter-insurrection weapons. Their heavy armour and firepower, along with their resistance to plasma fire, point in this direction. The use of laser weaponry may point to a certain degree of infighting amongst the Ethereals.
3) UFOs use shields similar to Star Trek deflector shields instead of armoured hulls. As pointed out in-game, alien propulsion is based on gravity waves, as are deflector shields. Also, the Supply Ship is much larger than an Avenger, yet its hull and interior structures contain only 1/6 more Alloy (141 vs 120). This may also account for the tendency of even small UFOs to land almost intact after being shot down. An exploded power unit is usually the only major damage (well, aside from damage caused by exploding Elerium and navigation consoles).
This can be explained by positing a relatively thin and fragile hull reinforced by strong forcefields. These fields can only absorb so much energy (read: weapon impacts) and an overload would have adverse effects on the power source.--Dumas