Switch on transmitter, switch on receiver (normally using the ESC switch). The ESC will power the receiver and stuff plugged into it from the main battery using its built in BEC. Powering up should be done in this order to ensure that both radio and speed control have a valid signal when powered up.
The advertising for the ESC (https://www.horizonhobby.co.uk/p/graupner-esc-navy-v30r.htm?SessionId=&a=article&ProdNr=0102880) says that it is "high frequency". This might, or might not, mean that the typical whine that is produced by a PWM controller being connected to what is effectively a loudspeaker is outside hearing range. This whine is a constant pitch whenever the speed setting is not zero.
If the motor works as expected, everything is OK. Probably. Not quite sure about introducing power from the battery after everything seems to have been switched on.