I'm reading Harris/Hirst/Mossinghoff's: Combinatorics and Graph Theory. Here:
I don't understand: For all $2$-colorings, it must have a $K_p$ and $K_q$ or it must have a $K_p$ or a $K_q$? I'm confused: If it's the second option, a $K_2$ does have a $K_2$. But it's not clear that it actually speaks as if it were the first option.

You're missing the requirement that the $K_p$ or $K_q$ must be completely red and blue, respectively.
$R(2,4)$ must be larger than $2$ because if you color the single edge in $K_2$ blue, then the resulting graph does not contain a red $K_2$, and does not contain a blue $K_4$ either.