Congrats on your new baby!
1) Continue feeding him that and slowly start switching him over to a better quality cat food. I use chicken soup for the cat lovers soul light and blue buffalo.
Only introduce one new food a week. Hedgehogs have sensitive stomachs and if you don't you will see lose green stool.
2) Crickets are low in fat you can feed about 4-5 every day I'd say. Maybe more I personally don't feed crickets. They hop around and I wouldn't want one lose in my room. And I wouldn't leave them in the cage. Crickets bite.
You can also feed mealworms and dubia roaches. But like I said before one new food a week. If your changing her over to the new cat food just hold off on the treats.
3) she'll be grumpy. Every once and a while is okay. But it's best to leave them alone till night. Would you want to be woken up at 3am by someone? You rather be woken up at 8am.
4) Yup perfectly normal. Could take some time for her to get use to you. You can start by putting a used tshirt in the cage that you no longer want. It will have your smell and she'll associate it with safe. Also try and keep a routine. That helps. Just remember 30mins every night. And don't get discouraged if you don't see results right away. Like I said. Could take a while.
5) Do you have a light and heating system? If not those are important. Also fleece bedding is the best type of bedding. And does she have a wheel? And fish tanks are bad cages. (Just somethings I say to new hedgie owners )
Also. In the beginning you said "him" then later you said "her" do you need help identifying the gender? =o -just checking-