If you bought it on craigslist, I doubt the gun is brand new. I think Vanguard will still cover you for a barrel replacement though. You'll just have to call them.
Make sure you use the proper sized allen keys on the bolt cap. This gun is made in the UK so you need imperial sizes
Anno........that's your choice. Lots of people do it. It's not cheap but not too bad as long as you don't get too crazy
As for the paint breaking problem......I have a few theories. The first being improper regulator setup. The creed needs to have the input pressure set first(HPR), then you tune your velocity with the LPR. Insufficient regulator pressures can cause shoot down which will mess up the mechanics and breaks paint. You can't set it up like most poppet guns.
Next check your detents. The springs can sometimes be tricky to seat properly. If they buckle at all, your detents won't retract fully. That means more brittle paint will get cracked when you fire. Use your finger nail down the breech to make sure the detents retract past the level of the breech.
Next check your hopper batteries. You may think they're good, and in fact they may be good for a short while then die down causing misfeeds during rapid fire. Misfeeds lead to broken paint. Make sure your gun battery is well charged too. Don't let it go past about 50%.
Next gun settings. A lot of people like to play with settings and the previous owner may have as well. Reset them to stock and see how that works out for you. If the gun is well broken in you can play with the dwell a bit, but try stock settings first to see if that helps.
Next, make sure your eyes are clean and working properly. Make sure the internals of the gun are clean and working properly. Make sure your ASA knob isn't screwed in too far to block air flow from the tank. Make sure you have no leaks. Make sure you aren't using crappy paint! lol. The standard things you should do with any gun