I just got the same press from Henry as well about a week ago. I brought it home, set it up, really enjoyed it and then bought a Loadmaster. Har! My need for speed had been started! But anyway, the Classic is a great buy, probably what I would have bought had I known anything when I bought my first single stage. It's cheaper than the LnL Classic I bought but you can do more on it later.... I actually just started this thread 2 weeks ago or so myself.
As for the die sets, A sizing and seating die set is standard in most rifle die sets. So 2 dies. Pistol sets, most will include a 3rd die which is a flaring die, for flaring your cases to seat pistol bullets. Lee sets add the Factory Crimp Die if you want to use it. With the Turret you set it up as you want to. Myself, I prime off the press because I like to clean all my brass. Then I use a sizing die without the decapper, the powder through die that comes from Lee to charge from the Pro Autodisk, then the seating die, then the crimp. You set it up how you like to load, and you'll figure that as you go.
Here's the bench where mine got set up. Now it got taken off and mounted on another board like the Lee Load All II is so that I can swap it on when I want to load rifle faster, as the Loadmaster is now on the left for my .40 and 10mm needs. Still, even after owning the Lee Classic Turret for a week I couldn't part with it because it's a press that just makes sense in so many ways.
One thinng though, if you find them please post, is I have not been able to find 4 hole turrets anywhere. Anyone know where they can be bought?? I can find 3's and Loadmaster turrets but not 4's.