Hopefully I can help you out, at least a little! I have owned the Pro One four times (don't ask!!) and currently own the same version as yours. Plus, I own other watches with LUC movements.
First, here is a post of my Pro One which you can compare to yours:
1)
The orange lume on the indixes, the hands and the bezel seems to be
different: the lume on the hands is solid orange, the lume on the
indixes a rather light orange/yellow and the lume on the bezel a true
yellow. The watch is three years old.
In looking at mine, the hands are a slightly darker orange than the indices. The lume on the triangle on the bezel is a slightly different shade of orange but that may be because the hands and the indices are being viewed through the sapphire crystal.
2) If I turn the crown to wind the watch I cannot hear any sound. So I am not really sure whether the winding works.
The winding on LUC movements is relatively smooth and quiet and very hard to hear. You will know if the watch is not winding. As a test, let the watch completely wind down then wind it about 50 times. If the watch stops after an hour or so you know it is not winding properly but my guess is that you will be fine.
3) The bezel seems to be rather loose: I can lift it up (not: off) a fraction of a millimetre.
The bezel on the Pro-One is not its strongest point. Early versions have been known to have loose bezels and even later versions which have been improved still have a little play compared to other divers. When I try to lift mine up there is some small movement as well.
4)
When I push in the crown after setting the time the minute hands
usually jumps forward (that is why I did not post a pic with a
"smiling" watch.
Completely normal, for all LUC watches! Setting the watch takes a little practice. Try holding the crown with your thumb and forefinger and gently apply pressure (in other words, don't just press the crown in with one finger!). Practice a few times and you will start to get the hang of it. This is one of the characteristics of the movement.
To sum it all up, I think your watch is fine! You made a very wise decision and will get used to the Pro One's