Take a look at a thread from just a few days ago; my response applies to you:
http://www.medhelp.org/forums/STD/messages/4153.html. You also can use the search button to look for other threads. Use search terms 'STD symptoms' and 'STD anxiety'.
Some aspects of your question might reflect differences in typical STD management in Italy compared to the US. I won't comment in detail, but candida does not usually cause symptoms in men and the partners of women with candida infections usually do not need treatment; and ureaplasma is a normal bacteria commonly found in the vagina or penis, and does not cause disease. (In my STD clinic, we never test for it.)
You probably had chlamydia. Your partner probably also was infected, with a false-negative test result; or her infection might have cleared up on its own before she was tested. But your doctor did the right thing: both of you were treated. Either doxycycline alone or azithromycin alone was sufficient; treatment with both drugs definitely is 100% effective against chlamydia. So you can be sure you are not still infected--unless, of course, you or your partner did not take the drugs as directed, or if one of you had sex with someone else and has a new infection.
The urologist is correct: symptoms like tingling or irritation in the urethra often take a long time to go away, and that it does depend on personal sensitivity. You have seen at least 3 doctors, all of whom reassured you that you have nothing serious. So my answers to your direct questions are:
1) Yes, symptoms sometimes persist, just like you describe. It doesn't necessarily mean there is an infection, and certainly there is nothing that will harm you or your girlfriend (or any future sex partner). Read the other thread I mentioned above.
2) This is not due to chlamydia. (Well, it could be chlamydia if you or your girlfriend have had sex with other people.)
3) I doubt it will help to see another urologist. But if you develop discharge in addition to your other symptoms, or if you or your partner have had sex with other people, you might need to be checked again.
Good luck-- HHH, MD