Allowing you to equip all of your modules to one attack slot was definitely a bit of an oversight haha. We're planning ways to balance things including that a lot more after the jam. As for that menu at the beginning, that's where the "daemons" you discover during each run will be sent. After you die and end a run, you'll be sent back there, and then you can equip them to boost your next run. Sorry if that wasn't clear!
Thanks for the detailed feedback and the kind words!