Are you guys having fun with it?
Yes - but it starts off tough, no question. Once you've figured it out and upgraded your gear a bit - and it probably took you a while to do that for the spaceflight bit, right? - it's not all that difficult. But it definitely has the vertical learning cliff traditional for Elite games.
Some early tips:
1) Salvage missions (the ones which don't go to bases) and many courier missions (deliver/retrieve package) are either entirely legal, or illegal only in ways which don't matter (you're salvaging prohibited goods from a place where there's no law enforcement anyway). They're also in contexts where there's either no enemies or - some salvage missions - there's weak enemies you can legally flatten with dumbfires from your ship, or use the Scorpion SRV to massively outrange and outdamage them.
2) Restore/reactivate missions are also entirely legal, but you might have more scavengers to fight. Again, you can take them out with SRV or ship, and they'll stop coming once the base is powered back up. These are good sources of all sorts of loot because no-one is going to stop you taking the bits which aren't nailed down.
3) Combat is much easier once you've got G2 or G3 gear - the starting G1 gear is really weak if you're not an FPS expert. On Thursdays, have a look around Pioneer Supplies for G2 gear on sale (if you're out in Colonia for Dayette, you'll have to get very lucky to get G3 - but you should be able to upgrade your Maverick and Dominator suits to G2, and get a few G2 weapons, after a bit of looking around ... the systems on the edge of the region are generally better)
4) Do the tutorial if you haven't already. It doesn't cover everything you need to know in Odyssey by a long way, but it'll help with restore-type missions at least.
5) If all else fails, exobiology is perfectly safe and a good excuse to walk/drive/fly around and enjoy the scenery.
One big thing to remember is that assumptions from playing Horizons for years don't necessarily hold in Odyssey. It works in its own way - and one of the differences is its approach to danger. In Horizons, it's very hard to fail once you've had a bit of practice - all enemies can be avoided, most activities are legal, etc. - but failure can be extremely costly, if you die with lots of exploration data aboard, or without the cash for a rebuy. In Odyssey, it's the opposite - it's very easy to fail in a wide range of interesting ways, especially when you're learning - but the costs of failure are generally a token fine and some flight time. (In this respect, Odyssey is
much closer to how the first three games approached space flight) Similarly, low-intensity CZs (and once you've mastered them, the higher-intensity ones) are very good places to learn combat and test new loadouts, because if/when you die on foot in one you just respawn and carry on. The absolute worst that can happen is you lose the battle and only get paid for your kills ... if you're thinking of Horizons CZs which are some of the toughest NPC combat available, Odyssey ones are nothing like that.