Yesterday I loaded up a base 737-700 with United livery and began flying the tutorial flight from KPDX to KSFO. As I approached Top of Climb or whatever it's called, the instruction said to setup the Head Up Guidance System. I looked everywhere and couldn't find the Collins device anywhere. Long story short my plane flew past SFO and crashed...blah blah blah while I was searching the internet for where that device might be in the cockpit.

Then last night I tried a Southwest Airlines variant, and right away I noticed there was a HUD above the visor that could be pulled down. Sure enough the control box was also present right there in the center console below the radios. 

Also when I was crashing the ground proximity warnings went off, and I started getting terrain data in the PFD. So is all that working? How about the weather radar? Is there any documentation for operating all of these and the Glideslope radar?

I believe that certain airlines have different setups. The United 737-700 might not come with a HGS system. You can add it though, through the menu's in the FMC. 

I think you need to read some of the supplied manuals. When you state "Top of Climb or whatever its called" it sounds like you're a bit out of your depth.

Try a different United airframe. Some of them might have it. Pmdg actually used the build sheet from a couple of different airframes to configure the included liveries.  If not,  you can turn it on in the aircraft setup menu..

Weather radar is not implemented.  Still waiting on Asobo to create the API for it to allow WASM modules to retrieve the info.  The terrain "radar" is not actually a radar as Robert from PMDG explains in one of the videos they did for the plane.  It's actually pulled from a terrain elevation database that is included in the aircraft.  It's not actually being actively generated by a radar or similar hardware..