Yes .... Tx = Transmitter (and Rx = Receiver in radio talk)
Yes, it 'should' just work out of the box with no major setting up, but sometimes stuff happens.
It appears that either, or possibly both .... your Tx and Phantom are confused/improperly programmed and hopefully just need to be re-flashed.
The Naza is actually a program/module within the Assistant that you can activate later on 'after' you have some flight time.
For now you will be best advised to just use the stock Phantom mode and ignore Naza for now.
It's not needed to go into for the purpose of just reloading the firmware and setting up the Tx.
Download the correct Assistant and firmware for your computer (PC or Mac) and install the Phantom and RC assistant programs on your computer.
Be sure to download and install install the Windows driver if needed.
Use the Phantom Assistant to update the firmware on your Phantom with it connected to your PC and turned on.
Also use the Assistant to check and make sure it is using the latest firmware via it's Upgrade menu.
Then use the RC assistant to calibrate the Tx sticks with the TX connected to your PC and turned on .... also make sure to click the mode 2 and FCC boxes on that screen. (Your Tx should beep twice when you turn it on)
Then ..... with the Phantom once again connected to your PC and turned on, and the Tx also turned on, once again calibrate Tx sticks using the Phantom Assistant.
Instructions are included in the text panels of both programs for the above.
Don't confuse Naza for doing any of this.
Although Naza is part of the package ..... as indicated, it's something that provides additional and advanced features, that you turn on later (using the Phantom Assistant) 'after' you are familiar with flying the Phantom.
You then will need to calibrate the compass.
When you do this be sure to have the nose/camera pointing down for the last step, and not pointing up.
Also ... anytime you have the Phantom turned on the gimbal lock needs to be removed.