It does have a steep learning curve, and I do think it is more enjoyable the more you get familiar with the systems. Yeah, sending caravans out can be very risky early on for many reasons.

For a first run, maybe choose a slightly easier difficulty (Community Builder), use the Phoebe Chillax storyteller, and pick a location on the planet that has a year-round growing season. And when choosing your starting colonists, I recommend someone with shooting, someone with construction, and maybe someone with cooking or plants. This way you can be relatively self-sufficient without needing to caravan.

Once you can caravan, I recommend trading/gifting to other factions to build goodwill. This will keep them from attacking you, and once you have a comms station, you can call them in to help with defense in a pinch. Note that some factions are always hostile, though.

When you do get raided, make sure your colonists are always firing from behind cover. When possible, try to gang up on isolated enemies and melee them down to increase the chance they are incapacitated (not killed), so you can capture them. Prisoners can either be slowly converted and recruited, or released for goodwill with their faction (or used for other fucked up stuff).

Good luck!