I don't think there's anything wrong with that thermocouple, per se. You will need to mount it on your kettle/keggle so it doesn't leak. Auber sells the same style and I recognize if from other posts, so it can be done. Some people prefer the RTD style because it tends to be more accurate, but are a little more expensive. I personally use K style thermocouples. They match up fine with my calibrated thermometer, so I haven't felt a need to move up.
The MyPin PID will be fine. I and others use them very successful.
The SSR will be fine too, if you're running 220, 3800/220 = 18 amps. You have some headroom left. Your only using 72% capacity. 80% is generally noted as the max you should run continuously through a circuit.
For my setup, I purchased some 99 cent thermocouples from e-bay and made some thermo wells. Work great.