You don't have to do a high burn first, but if you do, you can still cook. The venting process has nothing to do with the inside of the grill, so cook away. I recommend though, venting the grill while not cooking, because the attention should be on the grill, not the cook. Do you have the high temp instructions? If so, follow them, if not, let dennis know, he'll get them to you.
You can do a lo/slo immediately, that's up to you. I recommend pork butts, they're the single most forgiving thing you can cook.
I use a torch to start my fire, sometimes cubes can leave a foul odor, that's hard to get rid of.
No one is rolling their eyes, we've all been there.
Robert