Pick a planet with less dense atmosphere to practice.
The scroll wheel will increase your main engines, but if you are on the ground, you will likely not go anywhere (unless you are pointing up, at a reasonably steep angle). And keeping auto-level on will prevent you from making pitch adjustments. The auto-pilot functions can be nice, but they may prevent you from doing certain things you want to do. You will have to turn them off when necessary.
If the auto-pilot shuts off your engine, you are going too fast and generating lift. The hold-altitude auto-pilot only uses hover jets and cannot push you downwards.
My planet HUD which shows my elevation has disappeared from the left side of the screen and I can't get it to come back- is there a shortcut to turn that on?
Do you mean the selected object info panel in the very top left corner of the screen? Because the Hor HUD has the altitude and speed info just below the heading tape. If it's the object info, click on the "Center ship" button (the "X") just under the Hor mode button.
If that doesn't do it, you'll have to bring up the ship menu, select the ship you're using, and click on the "Take control" button.