How would people recommend approaching the initial set up of that property with an eventual exit (via sale or hand-off to PM/operator) in mind? 

I recommend people doing a side gig on what they specialize in.I am an accountant and when I worked within large public accounting firms, I had a side gig of bieng an accountant.I had a salary with my employer so regardless of how much more hours I put with them, i would be paid the same. 

I have a few questions for those familiar with the market:- What neighborhoods would you recommend for a first-time investor like myself?

@Tomas Falcon highly recommend you chat with @Samuel Eddinger!

You will be waiting a long time - that as mentioned was a black swan event just like when they went to like 18%.Historically speaking expect rates to be between 5-8%. my recommendation to anyone buying real estate today is if you buy, expect to hold it for atleast 5 years 

Would recommend you read a couple books about BRRRR, that will give you the basics and then feel free to reach out.It remains a great strategy, but you have to manage your expectaions.

I am closing on my 1st rental (Duplex) next week & I am going to self-manage the property. Since I only have these 2 units for now I was thinking of using one of the free websites (Cozy, Tenant cloud, etc...). I ...

Any recommendations which companies os states to avoid?

I don't recommend either of them.

That is your competition.I believe my recommendation will prove accurate.