I got it last week too! Yeah it's got it all in there but I think you can add other things. I'm a bit confused about media to be honest. It's brilliant though, if you just have it agitating the water rather than bubbling (which I believe is better anyway) it's totally silent!
I'm also paranoid it's not working properly but I think that really is just paranoia ( I hope lol)
You mean did I take it out of the bag? Yeah. I guess that if it's spraying out (got the top one on right now) then it must be sucking in and must be working? I can't decide whether to keep the top one on for aireation when I get my fish or move it to the middle spray bar for the plants.