Have you switched on the vacancies module in Options? You’ll need to create a page with the vacancies template.
For the A to Z, you need to create letters A through Z in the taxonomy (see Tasks, A to Z) and then categorise tasks with a letter. To add the A to Z to a menu you may need to pull down the Screen Options tab to switch on the A to Z when viewing Appearance, Menus. Otherwise, there’s an A to Z widget that you can add to the homepage. You don’t need to create any special pages for the A to Z to appear.