Don't worry about chests, just open em whenever. You'll get more than you need, eventually. Nothing really matters until your Hero level is 30+. Then gear starts dropping at max power level and you can actually start going for the traits and talents that work for your build. Up until that point, just use whatever has the best power rating, don't worry about the traits and properties it rolled, try out the weapons, find the one that jives with you. Dismantle everything you're not going to use so you can build up some resources for crafting when gear stabilizes and you know what you like and don't like.
IMO Champion is where the game starts getting fun. Mostly because the damage forces you to start paying attention, playing better. In Recruit and Veteran once you have some gear you can largely just face roll through everything. Champion and up is where the enemy density, enemy health and enemy damage forces you to start playing smarter, picking good fighting ground, staying near your friends, making space around yourself to fight, doing crowd control, being Johnny On The Spot killing specials, etc and so forth.
Blocking and dodging specifically are what I like to think of as insurance polices. There's many attacks you must either block or not be in the path of if you want to survive. Basically any attack an armored elite or monster or boss throws your way. Dodging helps you get out of the way, and you hold up a block while dodging just in case your dodge wasn't timed well, you misread things, etc...but by and large you shouldn't be in a position to be stuck, blocked or not. You should always be moving as you attack, keeping up a wall of steel around yourself to stay safe, getting the best position on the horde to continue safely blendering them, forcing the AI to constantly reposition in an attempt to hit you rather than actually swinging on you, and using dodges and blocks (and push blocks!) to keep yourself safe while you do so. The absolute worst way to play VT2 is to stand still. The second worst way to play is to constantly be moving forward and never checking your flanks. On higher difficulties, that is the death of you.
Vermintide is largely a game about positioning. Not a lot of that becomes super relevant until the game is challenging enough you can't ignore it. At higher difficulties the enemy will eventually start swarming you and you'll get pushed back, and you have to learn to manage a horde of guys, always trying to avoid getting surrounded, knowing when to give ground and when to push through. At higher difficulties the amount of things you need to respond to goes up as the AI attacks faster and more relentlessly. So doing things like battering back the horde in front of you, pushing away some guys at your side, then turning around and blocking guys behind you eventually becomes second nature.
Among my regular VT friends and I, we consider anything less than Legend teaches "bad habits" because you can Ricky Rambo through much of the game. When you bring that mentality back to Legend, you get your ass handed to you. I'd personally advise you to play at the highest difficulty your current Hero Power allows.
Should also just mention: all the loot you're earning from doing the Chaos Wastes does not apply to the Chaos Wastes. That gear only comes into play in the normal campaign/story missions. But you are earning XP and leveling up your character and the Talents you unlock do apply in the Chaos Wastes.
edit
Re-reading, just so I can put it into perspective....one friend of mine has had 0 Damage Taken runs on Legend NOT playing as Ironbreaker with Gromril Armor. And he's right up there in kills with everyone else. I'm worse than average when it comes to DT in our group but it's not uncommon for everyone to finish with sub 300 DT. To us, DT is really we the stat we pay attention to at the end of the game.....(mostly because the fucking Waywatcher takes all the green circles 95% of the time when one specific guy plays her.)