As a Ninja 250 owner, I'm gonna be a little biased and say the Ninja 250 is a most excellent starter bike, maybe the best there is, however there are others that are comparable and have features that the Ninja does not. You'll have to look at the Pros and Cons of them all.
As far as exhaust sound goes, don't worry about it right away. Let your first upgrade or modification be something safety related. (horn, lights, frame sliders etc). Do not sacrifice sound for performance. The Ninja 250 is a machine that performs well for the avg beginner. Your first priority should be concentrating on learning how to ride perfectly, not how perfectly you can spend money on unnecessary mods, only to drop the perfect looking bike and having it ruined within the first 30 days or so. There are many exhaust to choose from and they all sound similar and all offer about the same performance enhancement (very little with out intake up grades).
The Ninja 250 is a well built machine and is pretty tough. If you properly maintain the bike it will last a long time. Outside winter storage and exposure to the elements, depending on where you live, can be a little harsh on any bike, but a good cover can minimize a lot of damage. Proper storage in those instances will be the key.
As far as security & theft prevention goes, there are many options but keep in mind that if a thief really wants your bike, he'll find a way to take it. Thick chains, Disc locks with alarms (cheap and effective deterrent), Lockable cover, & full alarm/locating systems are all ways to prevent your bike from being stolen. Layers of security work best. The more a thief has to disable to steal your bike, the less likely they will try to take it. They will move on to the easier target.
By "full cascet" are you referring to a helmet?
The forum is full of info. A quick search on just about any subject will yield many answers to questions you may have. It may require a little reading but it will be well worth it.