1 - Sounds to me like you've put the drive pin through the CVA and then put the hex on after with the hex the wrong way round. You need the hex on the driveshaft first with the groove for the drivepin facing the outside of the car,
then you put the pin through.
(Don't worry, I remember Jimmy making the same mistake when he got his review BJ4

)
2 - The two bits of plastic from the top of the steering assembly that seat in the holes in the topdeck are pretty loose, that's just how they are. I keep meaning to try drilling a hole through the topdeck so the screw that holds the top plastic part of the steering assembly on goes through the topdeck as well. Though I suspect the slightly loose fit is intentional to allow the chassis/topdeck to flex without tweaking the steering and binding it up.
3 - Sounds like something's shimmed wrong or the grubscrew of the pinion is hitting the spur or something like that, the gearbox's on the car are very quiet. You don't need to 'run in' the gearbox, it's either built as intended or not - I just build mine up and run it.
4 - The rear cup should be pretty solid, the front one is a bit wobbily. Again this is just how it is, makes no difference.
Rich