About the cold blooded – yes, you need to let it idle for a few minutes before riding (depending on the weather, that might be 20 seconds, or three minutes). I don’t find this warm up time to be an issue. Makes me get in the right mindset. But that is me, and we’ll see if that is still the case this summer.
Buzzy sound – Given the popularity of the new ninja, I expect “slip on” exhausts will be out for it very soon if they aren’t already. (A slip on exhaust is a muffler that replaces the original one without needing any other changes to the bike. Sometimes with “re-jetting” the carbs you’ll get marginally more power). i’m not sure on the cost, but aftermarket exhausts are a very popular way of makign a bike “yours”.
The Ninja250.org FAQ has a description of the break in process. I’ll admit I’m not familiar with it.
Enjoy 
