As long as you do your research upfront the worst thing that can happen is that you are in over your head and tell the controller you will disconnect.
Pilots have to deal with the possibility of becoming overwhelmed during training. Airplanes don't have pause or disconnect buttons, therefore a better solution is to work out how to deal with situations that are thrown at you. A couple of lazy 360's can effectively hit the pause button on a flight while you regroup, get your bearings and come up with a plan. I say that not because you have to do it just like the real world, but because once you start disconnecting at the first sign of stress, that will likely become a default solution at the slightest sign of confusion. Long term, you'll learn more by facing the challenges in real time than disconnecting and starting over each time.
Regarding flight following, PSP is a TRSA which means you're going to receive radar service by default when you first depart (unless you specifically say "negative radar service.") My guess is that when you called for taxi, you perhaps mentioned that you were "VFR to KSAN," which many controllers will interpret as a request for flight following. If your intention is not to receive flight following, then I would only specify and initial direction of flight instead of a destination (if that is indeed what happened).
In terms of why the controller couldn't bring you in from the north, I the Miramar MCAS Bravo is combined with KSAN's. When you plan for the flight, you should allow for the possibility that you're not going to get a Bravo clearance until you're approaching the surface-based Bravo for the destination airport. Hence, I would plan to route east or west of Miramar.
