Hi Radooh
Been there and reckon I've pretty much got the ramp start down.
First, don't worry about Threat Warn AUX. The button seems to interfere with the canopy handle. Pressing Power on the bottom-right of that group seems to fire up the EWS. Then set the other switchs as you described - just stay away from Threat Warn AUX. (I'll probably find later that when I start some combat missions, I will have needed to do something with that switch

)
To get clearance to taxi, contact the tower and request taxi. They'll grant you clearance and ask that you hold short of the runway. Once there, request permission for takeoff. If the runway is clear, you'll get permission to proceed to the runway. Once you're aligned and at a full stop, you'll get departure clearance.
On the gear issue, I found that I had a similar problem the first time that I tried the ramp start. I did the same thing as you and opened the canopy whilst trying to select Threat Warn AUX. I also couldn't get my gear up after takeoff and once airborne, was greeted by the sound of the canopy and the gear being torn off! Doh! I haven't had the problem since I stopped messing with the canopy handle. I think there is also a right eyebrow warning light for the canopy being open.
Give it another go. I love the ramp start. It adds a nice touch and give you a feeling of superiority over the arcade simmers!