MRD isn't a DPS job (per se), it's a job for tanking and trashing mobs through AoE. You don't get your AoE ability until right before your final AF quest so yes, until then it is pretty crappy.

There are a lot of reasons for this, primarily level correction/gear just not being very good at low levels. Leveling is easy, enjoy getting PL'd, when you're high enough and have Steel Cyclone it'll be a bit different for you. If you do plan to continue as a WAR, you'll need to have your PLD sub to at least Lv.22, and lack of other options in the WAR tree, MNK at Lv.6.