You (like me) are still near the beginning of your lucid control. It's perfectly natural when you realise you're dreaming to think 'There's so much stuff I want to do, let's fly...or teleport...or have a fight with some ninjas' but nothing happens because you aren't really ready for it. You still need to train yourself and try to use simpler methods to your goal.
For example, you wanted to make a gun appear in your hand. An easier way is to think of a place where there would be a gun (say in a draw near you, or simply behind you) and as long as you believe it to be there, it will be there.
Similarly, for getting to the roof, you could try running out the room, and look for a ladder, expecting it to be there.

Try some simple stuff first, and then gradually try more adventurous things

Oh, and for number 4, it's probably just because you were thinking about that RC, seeing as you had just done it. Because the dream hadn't really resolved a plotline yet (you'd only just woken up) the dream simply formed itself around the RC.