When there are multiple "enters the battlefield" effects but "lasts until end of turn" is said once, do they all last until end of turn?
They all last until the end of the turn, not just first strike. Since it's hard to keep track of these abilities for a longer period, permanent boosts (or curses) almost always use 'counters', like a +1/+1 counter, which stay on the card as a visible representation. (There are a handful of exceptions like Figure of Destiny.)

So if the +2/+0 boost would be permanent, it would have read something like this:


  When Cavalry Drillmaster enters the battlefield, choose target creature. Put a +2/+0 on that creature. That creature gains first strike until end of turn.


Note that the effect has now been split in two sentences, to indicate the difference in duration.