Lets see what I can answer:
For PvP, dying a lot is perfectly normal. Class balance can also be pretty weird at low levels and you’ll be up against players with better gear due to having mains that can supply things like heirlooms. You can completely ignore PvP if it’s not something you enjoy, or try it out later.
I don’t think you can change Warlock pet names. Demons aren’t like a kitty you name, they already had their own. (Hunters are the only class that can name their combat pets.)
Edit mode lets you move around interface options like your action bars and the minimap. It should unlock once a character has completed the Exile’s reach quests.
For the dialog volume, it could be a couple of things. First, the volume for some stuff is affected by your proximity to the speaker. (But not all stuff.) Second, this game is 19 years old and so different stuff done added to the game at different times may behave a bit differently from each other. But, you’ve found the relevant settings.
Compainion pets (like the corehound pup and the owls you bought) have two main uses. The first is that you can have them out and following you around just for fun. If you go into your collections (the horseshoe icon in the micromenu) one of the tabs at the bottom will have these pets. The second thing is a pokemon like battle pet system. It’s a side game, and it won’t affect your progression if you ignore it completely. (But, it can be fun, and you do get experience for winning battles. You can also capture wild pets that are roaming around the world.) Here’s a guild for them.
If you go into the nameplate settings (Options>Gameplay>Interface>Nameplates) there is an option you can check “Always show nameplates.” That will show them even outside of combat. (You also have to have the nameplates you want to see turned on using those checkboxes as well.) Another useful setting is in Options>Accessiblity>General. Minimum character name size will let you set a minimum font for the non-nameplate name of stuff in the world, which can make stuff easier to see.
The envelope icon is telling you you have mail, but you have to go to a mailbox in game to actually pick it up. You can turn on tracking (the little binocular icon nest to the zone name on the minimap) to see them on your map, but there’s pretty much always one outside of Inns, so that’s a safe place to head to. You right click the mailbox to interact with it, and you’ll see a list of your mail.
People just aren’t that chatty in this game. Most people are leveling solo and just zooming to max level. You can run dungeons using the dungeon finder. Unfortunately, as a new character, you won’t have access to Chromie Time, which you need to change which expansion’s dungeons are in the list. (Shadowfang Keep is the Cataclysm expansion, new players will be in the BfA expansion.) I wrote up some of the key points of Chromie Time for someone else yesterday, if you want to know a bit more.
You can just ignore the quest, or when you get to level 35, you should be able to solo the dungeon. (Although the rewards probably won’t be super useful at that point.) Shadowfang Keep is in Silverpine Forest, which is in a Horde zone in northern Eastern Kingdoms, so for an Alliance character, it’s going to be a fair bit from any Alliance towns. (At 35, you’ll have flying, though, to make it easier to get to.)
This is a great place to ask questions —especially specific ones like what you’ve asked. It’s low troll, but the tradeoff is that it’s slow moving. So, it’s not odd for it to take a day or two for a response.
For resources, Wowhead.com is a useful resource with guides and a huge database. You can use it to look up quests and items. The secret is to head to the bottom and look at the comments tab (sort them either by newest or highest rated for best results). You’ll then get to see useful player added info on the quest/thing in question. In many cases, if you’re stuck on something (or wondering what some item in your bag is for) you aren’t the only one, and there might be comments that are useful to you.