1. To turn it off you have to keep the switch pressed for about 1 second and release, it is not as fast as the HW for instance...
2. Once you have correctly calibrated the ESC (Bip, Bip-Bip, Bip-Bip-Bip sequence) you should be totally able to setup your ESC in forward/reverse mode, with the setup box or with the software.
3. The ESC shuts down when you hold the brake (not reverse) for 7 seconds, totally normal.
4. Using a capacitor is always recommended, you can use the one from the box or another one, with similar caracteristics...