Yes, you're on your own for all of your stuff. As a newbie, I'd do the payroll deduct and buy your bag, uniform stuff and shoes from Abbotts. You can do better elsewhere on your headset. You won't need a bag until your observation flights and IOE. Depending on what aircraft you fly, you can always use the Delta supplied Dave Clarks until you figure out what headset works best for you and your jet. The sims also have Dave Clarks so you won't need to dive into that pool until the end of training.

After your initial uniform purchase, you can buy at other venues. I like mypilotstore.com.

The jacket and hat are the biggest challenges. Definitely get those at Abbotts.