Which magic schools should I choose for the late game? Or should I go for a specific artifact?

I don't think it makes sense. You have exactly 10 Mercury on Veteran difficulty. If you can't find any (and you build a Forge), just save the Djinn and Treasury for better times. + Building Mages and upgrading them takes a lot of resources (especially on small maps). I also don't see much point in it on large maps; the Knowledge gained will be small, and the bonus will be minimal.