initially, there is a lot to learn with the Eigenharps, but persevere and its a hugely rewarding experience.
Im half remember, Geert did a video on Omnisphere setup,
but a warning neither Omnisphere nor Ableton support MPE so this is not ideal, especially as a 'first attempt' - they can be made to work, but its just not was easy as it might be! (hence why MPE was created!)
(you could try hosting Omnisphere in EigenD, though not sure how well thats works as I don't have Omnisphere)
sensitivity, yes this is something that you tend to learn over time....
but you can also set the range of sensitivity in the matrix, so turn it down initially - then you'll find as you get used to keys you will be able to increase it again.
this is just practice, no special tricks :)
generally vst presets always need tweaking for these kind of expressive instruments (eigenharps, roli, soundplane, linnstrument) , as the presets are rarely designed for them - my tip is create your own, and start with really simple but direct modulation (from the pic)... you dont need as much automated modulation (lfos, env) , because you have so much already under your fingertips!
sequencer is not on the factory pico setup.
recorder is, you can record anything that is hosted within EigenD (e.g. internal instruments, or hosted by vsts... but not, Ableton Live)
you can make your life a bit easier these days, by looking for things that support MPE, so Bitwig, Madrona Labs VST etc etc.
or alternatively , start by using the built-in instruments like sampler, flute, then once your familiar with those branch out.
anyway, don't get disheartened, theres a lot to learn for sure, so initially its important to 'start simple' , to not get overwhelmed , but the end result is definitely worth the effort !