The "robot is not configured properly" is currently a common warning on RPI devices - it means that the Agent cannot control how your RobotHub Apps will use HW resources of the device. You don't have to worry about it and in future versions this issue will not be present (therefore warning will dissapear).
Regarding the DepthAI script - RobotHub Agent will indeed grab all available devices, so running DepthAI locally will not work anymore - you can stop the robothub agent at any time with "sudo robothub-ctl stop" or disable the "Builtin App" in the cloud UI (Robots -> pick your robot -> Settings) to prevent this.
Regarding usage of RobotHub - you should be able to use RobotHub without issue right now. You can create Apps in the "Apps" tab and then install them on your Robot in Development mode to edit them. If you want some example Apps to go off of, you can check out this repository.
Hope this helps, please let us know if you have any further issues!