I think a lot of the behavior is probably due to her being a pet store hedgie - she probably lived in a noisy, bright, peculiar environment with little to no real human contact or socialization. It's going to take time to get her used to you
As far as being a she - if she was a he, you would be able to tell from a glimpse at the belly XD
Now as far as wheels go - hands down the best that the large majority of us use and love is the carolina storm wheel, made and sold by Larry here on the forums. The thread is here. viewtopic.php?f=20&t=4844&st=0&sk=t&sd=a
It's a shame you've already spend so much on wheels so I'm sure the price might make you a bit concerned again, to be spending that much more, but the wheel is one of the number one things that your hedgie is going to need to stay healthy. It's an investment that is very very worth it. It will help as far as keeping a healthy weight and stimulation -a running hedgie is a happy and healthy hedgie!
And yes, the igloos are great! My boy doesn't always use his, of course. If you switch to fleece liners, which I REALLY recommend, you may find that she just sleeps under the fleece.