netllama,
I cannot comment on many of the issues you had as I do not drive and only got around via hitchhiking and using public transport. For Al Ula's Old Town, for example, I hitchhiked directly from the main town and asked to be let off right in front of the Old Town, potential parking/shuttle crisis averted.
I also was a bit let down by Madain Saleh, though in my experience the guides don't really keep much track of you-- I stopped to use the toilet and when I came out my group had left me behind.
It seemed like we didn't really see much on the Hegra tour, just the main site, the Lonely Castle, and a few other tombs. Most of the time seemed to be dedicated to taking pictures, and the guide didn't seem very informative. I think a private tour would have been better.
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