1. It could be your hard drive isn't spinning up fast enough to boot the first time. It's a fairly typical problem on older IDE drives. It's not really a big deal.
2. Most games don't quit to workbench. WHDLoad will allow you to launch most games from workbench and quit back to the workbench with a key. You need a reasonably expanded Amiga (ie. 030 + extra RAM) to make good use of it though.
3. There's no real point in quiting out of Workbench. Just wait for all drive activity to stop and switch it off.