Maybe at least a couple of bottles of milk a day- can you get fresh goats milk ... or I am not sure what brand replacer is good depends on your area, and some goat feed for growth, some hay-- what it is it eating now...?
Yes, that could be a problem. No worries, we'll get you through this. When are you picking him up? Was he dam reared, or a bottle baby? Is he weaned or still on the bottle? What were his previous owners feeding him? If you cannot readily buy a bag of whatever feed they were feeding him, I would talk to them and see if you can buy enough of that feed - about 2 weeks worth should do it - to safely transition him over to a new feed. What kind of hay were they feeding? You will need comparable hay at your place to feed. Is this baby a buckling or a doeling? If a buckling, is he banded? If a doeling, what are your plans for her?
Is it a bottle baby? If so it will probably be weaned and I wouldn't be adding a lot of milk back to the diet, it may upset the tummy. If she was bottle raised I would ask the breeder how much milk she is getting, and do not give any more than that -- also don't suddenly change the kind of milk she was getting.
Dam raised babies don't have any problem being friendly, as long as they were properly socialized. If she is shy all she'll need is some time, love, and treats. Don't worry, she'll turn around.
All goats need hay in their diet. You'll want good hay, free of mold. Ideal hay is alfalfa/grass hay mix, which has the right 3:1, 2:1 calcium phosphorus ratio (basically, they need twice as much calcium as phosphorus in their diet). If they are fed normal grass hay, I offer my kids a half cup of alfalfa pellets a day to balance them out.
I breed and raise Nigerian Dwarves -- they are the same size as pygmies, and have always grown great without the grain. I just don't like giving them grain if they don't need it, not as good for the rumen.
Fresh water is also a must, every day.
Goats actually need a goatie friend. Goats can develop behavior issues without a friend -- including nervousness, being more loud, and sometimes becoming aggressive due to not having someone to play with. I would get her a little friend, I promise she will be so much happier.