Ember Data is a completely optional component of Ember that seeks to bring ORM-like abilities to the client side. It's not as far along or as stable as core Ember. For what it's worth, you can easily just use jQuery.ajax and create Ember.Objects from the response. We probably do need better documentation in this area to make this clear. That said, it's not fair to count Ember Data as a point against Ember since no other framework has anything at all similar in scope.
Our overview documentation is lacking. This is something that we're actively working on improving. The hardest part for new developers coming to Ember is that the paradigms are very different than what they're used to. We believe that the paradigms are the correct ones, but we need to do a better job explaining them.