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.