I'll try to answer some
1. No stock app/option for call recording?
That's what Android is all about, open source apps for anything you want in the market. Its not even a big deal if there is no stock app. Whats wrong with downloading something from the market? Doesnt even take 3min
3. No auto pairing with bluetooth Headset/ I have to do it manually
You'd need an that support this like the one on Sony Droids
4. Long Press of the volume key doesn't change the music file in Music Player/Radio Station in Radio
This feature never existed in phones that arent Sony. Samsung never had this nor Nokia, or LG. Why look for it? Every manufacturer has its own quirks for shortcuts
5. some settings seem to change automatically e.g. GPRS, Mobile data packet, Wi-fi turns on/off automatically without my knowing what caused it,
If the WiFi signal is poor, it will disconnect
6. Where's the 'docking station' property, I had just seen that in Google Gesture search after handwritting 'dock'
not sure I understand, but a docking station is sold separately
7. When will Gingerbread come to 9003 Galaxy SL?
some people say that its already out (beta leaks?) so just wait
8. Not getting incoming calls when data mode of USB connection is on? Not having a PC mode with Kies? I had a PC mode in Sony Ericsson Naite and I could take call while browsing phone file system on my laptop
Android limitation. Whole different systems. Your Naite has a simple system compared to Android. Android must be idle to be able to connect to PC to safeguard against file corruption
9. Battery consumption is high; JuiceDefender helps but its still a big pain in the A
Normal for any smartphone. Your previous phone was a feature phone. The graphics chip and high power processor which enabled your phone to do the things it does requires more power
10. Sent SMS not showing separately; Its all conversations only; In my SE Naite I had an option of viewing SMSes both as conversations and separately as Sent, Inbox, Draft etc.
Again normal. Most people dont want that anymore, they want conversation views as its more convenient to read what you were talking about. Apps are available to view like SMS Classic View LINK
Where are my tasks and notes from sony
Did you transfer them even? 
11. It can't handle a quick disconnect & reconnect of Radio Antenna; You have to switch on the Radio after the headset cable might snap disconnect by accident
Doesnt happen to me? I just insert the headset, play radio. After, I just pull it out?
12. Doesn't have a dedicated camera key; one more pain in the A especially when shooting self images; It also is painful to hold the camera still while trying to get the right frame for still photography
Quite obvious before you bought it. You should have bought a Sony Xperia if you wanted a shutter key
13. It hangs many times a day now; I had to uninstall so many apps I thought were not absolutely necessary to see if this would help it overcome the problem of hanging but it doesn't seem to help
Not really sure how you are using your phone? Mine doesnt really hang, slows down a bit sometimes, especially after exiting a major app like Star Blitz or PSX emulator?
14. It does not automatically detect bluetooth headset that was disconnected and later switched off & on
15. It can't play HD videos and a few more video formats (AVI?)
If you are playing 1080p, hardware is insufficient (only dual cores phones are capable of this), You can only play 720p and avi
16. No easy way to silent the incoming call whenever you want; But now I think power key helps here
Well there you go, power key
17. I can't find a pouch with magnetic lock for it
Not really samsung's fault here now is it
I personally use a transparent screen protector and a bumper case. Much more convenient than a leather pouch
18. The loudspeaker is not loud enough; I can't play loud speakerphone music; Many people here in India are impressed with such big sound; I can't impress them. This is a disadvantage in Indian Railways where at times you can entertain folks around you with your phone playing music on loudspeaker
Again, if you researched about the phone you would see that it has only a mono speaker. If you wanted a loud phone, obviously this was not one
19. It looks like an Iphone
So you bought a phone and you did not know what it looked like? Why buy it if you dont like what it looks like? This complaint is weird
20. Keeping the volume up/down key won't change the volume; you have to keep pressing it when e.g. you are plaing Radio
Uh, not really sure about the problem here. This is the same for most phones I've handled (Nokia and Motorola). One press of the volume shows level, next press increases or decreases. What you are looking for must be a Sony feature.
21.Radio receiver is not powerful; there's lot of noise and even when stationery I have to extend the headset cable long to avoid noise
Havent experienced problems with calls
22. Long pressing the volume key doesn't change the radio station
No phone I have ever had this feature. Maybe this is a Sony Feature?
23. It automatically goes from Silent to Loud mode after ringing an alarm clock. (Alarm Clock on Android Market)
Did you check Alarm Clock settings? I have an Alarm clock where it changes profile after an alarm. Just change the settings
24. Does it have voice answer & reject like my Sony Naite had?
None by default. You have to install answering machine app
25.It does not connect automatically I have to switch off and on the 'Use Packet Data' setting under 'Wireless & Network> Mobile Network settings' and sometimes it still doesn't connect when I can
Mine connects without problems.
26. Can't share a video (via bluetooth etc.) while watching that video in the stock video player
I dont know whats wrong with yours, mine is able to share. While playing a video, it even has a share button.
27. It being close to a computer, I would like to have a restart option on pressing the power key. There's only a power off option. I still need to wait for it to shut down before pressing the power key again
Android system limitation. Shutdown cuts all access to power to serve as a reset to close everything. You cant restart if you cut all access. You can have reboot if you root your phone.
28. I have to restart it so many times a day. It keeps hanging even when doing light tasks like editing notes
I seriously think you have a problem on your phone. I have over 200 apps installed, connected to internet 24hours a day, with pushmail and tweetdeck always running and its not really slowing down
29. it doesn't have a proximity sensor; Screen doesn't turn off automatically in my pocket
It has a proximity sensor. But you seem to not know how it works. It only works when the phone is in a call, so when you press it to your ear, the screen turns off because otherwise your ear would be pressing the screen and activating controls. Its not always running. Its not supposed to turn off your screen in your pocket.
You can get an app that does that if you want
30. On selecting 'Firmware update', Samsung Kies says following; This is my BIGGEST concern right now.
Model Name: GT-I9003
'Current Version:PDA:KB2 / PHONE:KA5 / CSC:KA6
This device's version cannot be updated.'
The device cannot be updated because updates arent available yet.
Simply put, the OPs problems seems to be either not really a problem (lack of a leather pouch), or a problem because its his first smartphone (battery consumption, etc) or not doing research (looks like an iPhone, monospeakers, how to use Android, etc).