Yeah? So there was a parallel series of steps of evolution of a compatible fly that evolved to plant the eggs on mosquitos instead, and then they intermixed into a hybrid. It happens. We've evidence of that happening even today.
I don't see that as strange. The heat from the host melts the glue or the humidity from sweat. Proteins like that has evolved in other species. Termites use some glue too if I remember it correct.
The first larva had some hooks to attach to the skin. Then a later generation had stronger and more advanced hooks. Then a later generation start to dig a little deeper into the skin to keep safe from falling off. Then a later generation dug a pit or hole it stayed in. I don't see why this is a problem? Just break down the problem into intermediate steps. Top-down. It's like working on design, software, construction, engineering, start from the top, divide-and-conquer the problem into smaller and smaller steps.