If so, do you use them in your actual writing, or do you still find it more convenient to use 'priest' for a priest instead of 'zag-sagrasa'?
It depends on whether or not the duties that go with the title line up to something in English. For example, for my elvad, the only time I use "king" or "nobles" or "he was like an earl, I guess" or "captain" is when a human being (very near the end of the timeline I use) is trying to line up what she's familiar with to what's going on around her. Otherwise I use "Vae", "cavae", "calel" and so on down the line. This is because while a "vae" can be broadly understood to be a king, the specifics don't quite line up (he's also an emperor and, within their society, a few other things). So unless the POV character is actually translating from their system to his or her own, I don't use the english equivalents.
In a much later society in the same world, I'll use "priest" and "priestess" and even "abbess" for the religious side of things, because these titles actually very closely line up to what the religious professionals are and are doing - enough so that in translating it as such, I'm translating "bleue" to "blue" rather than something like "rare comme le merde du pape" to "rare as diamonds" (the literal translation of the former being "rare like the pope's shit" - something rather different in contet, if not in general meaning, from the second.) On the other hand, again, I'll use their ruling title (prinche/prinches) because the linguistic equivalent (prince/princess) has implications that aren't quite true, and so does king/queen. And I'll use famvine for a certain sort of person in their lexicon we'd only be able to refer to as "holy woman", because, again, our word doesn't have quite the right complications.
Also, what does an intricate and frequently-used system of titles imply for a society?
I'm not sure what you're asking, with this question?