Following the directions from the Windows compile doc, I managed to get an MSVC solution that is very pretty. [...]
1) Are these missing headers cause for concern?
2) If so, how can I prestidigitate the missing headers into their proper locations?
3) Am I completely out of my depth, trying to dive into c++ by learning the mysteries of dfhack?
1), 2) Yes that will cause concern. Did you really follow the instructions from the Compile.rst step by step? One common mistake is to only pull dfhack and not the submodules. Though in your case it sounds like the generated headers are missing. Did you build your MSVC solution using one of those batch file? use dfhack/build/generate-MSVC-all.bat to build a MSVC solution for all of it, then best you use build-release.bat from the same directory to build dfhack for the first time. If one of the batch files fails to run that's an indication that something with your cloned repository is wrong.
3) DFHack is a huge and advanced project so if this is your first time with C++ it might be a feat to get into it. Besides, it's not 100% C++, some parts are written in Perl, lua and Ruby (though just for modifying one of the existing plugins a bit or writing a simple new one you won't need to bother with that).
Edit: if you are positive that you followed all instructions and still have trouble compiling it for the first time I'd suggest you come to the IRC channel (see first post) and describe your problems.