Using ranged equipment is fine, but some of the skills for the DH makes for a cool melee character.
The trouble is, although you can equip a melee weapon you can't use them! The only way is to assign impale to your left click, and constantly be out of hatred...
I went through until lvl5 before I found something to replace my starting bow, but had found loads of awesome melee weapons... this really hurt as I was finding plenty of elites with over 400 hp... doing 1-3 damage to them was not fun.
I have to agree with you. Playing a new DH can be a frustrating experience because of the weapon restrictions on skills, which isn't unique to this class, but neither class has it as bad as the DH. Basically, I feel that if you don't twink your character, you shouldn't play in parties, you will only be a hindrance to others.
When you get Grenades things should get better hopefully. Until then your best option is to check the wares of the vendor in town, who sells bows. Still, even at the first few levels the DH should have a skill option with melee weapons as well.
As for the "you've got empty equipment slots" message, just turn off the tutorials.