Hi Binita,
the page heading can be set in the page 'display options' tab.
Set 'Show page heading' to 'yes' and add a label in 'page heading'. As simple as that... In the event this does not work for you, it means your template does not allow for it. In this case, use the basic option of the component by using 'article before' as your way of getting the page title into the page.

In the basic options, go to the pagination section and set the pagination to 'alphabetized index'.
It is all explained in the documentation.

Binita,
first of all, 'things are not a little incomplete', it is just a matter of finding your way into the component's features, read the documentation and know your way around Joomla!, which I agree is a little overwhelming. Modules do not have pagination like any other Joomla! standard module. Adding pagination to modules forces the use of extra libraries like jQuery in order to work (to avoid page refresh). It is a deliberate decision to keep the component as close as possible to the standard way Joomla! works.

Creating 2 menus item views of the component does work, for proof is the demo site where there is a business page showing business staff and an endangered species page. I am looking right now to see what could cause the issue you are having.