There are (at least) two different types of stains for concrete. One is a surface coating, the other is acid etching.
The former can work, but isn't as durable/lasting. I believe most of the products you get at the big-box stores are more of a top-coat type of stain.
Acid etching is just that, it's a stain containing an acid that actually etches the concrete. This is the typical type of stain you see in home magazines and such. The etching provides a deeper stain that is more durable and not prone to flaking.
I've done the latter, and applying it is super-easy. It's the prep work that can be a chore--namely if you have adhesive on the concrete already. In our case, we has tile mastic, which we had to dissolve using soybean based stripper. It worked great but was incredibly messy.
If you don't have glue to deal with, however, you should be good to go. Order up the stain (lots of places online to get it). You then dilute it per instructions and spray it on the concrete. I used a garden sprayer for this. You then let it sit for a period of time, and then you apply a neutralizer to stop the reaction.
After that, you apply water and mop/squeegee/wet-vac it up.
Then, you apply a sealer of some sorts. Common options are wax-based, polyurethane, and epoxy. I went with poly as it was relatively easy to apply (roll it on). That said, I don't think it was ever truly waterproof. For your needs, you may want to go the epoxy route.
Stop sanding immediately! Lead based dust is the worst threat of all. Simply painting over it to encapsulate it is the simplest measure.
To fully remove the lead paint is a big chore, and important to do right. Look for local community classes if you can - the local one here had some classes on lead certification. The short answer is, you have to seal the area off with plastic, wear a hazmat suit, scrape it all off and remove the paint from the premise, and then clean up all the dust.
You can google around and turn up tons of hits for lead removal procedures, here's the first I found and looks pretty good:
http://www.health.state.mn.us/divs/eh/lead/homes/interior.html
One tool I used in my own lead paint removal was http://www.speedheater.us/
While it is stated not to use heat guns to remove lead paint, this one is a much lower temperature version that is much safer. The fumes are still an issue so make sure there is ventilation to outside while working. (Not related to speed heater, just a happy customer)
Best Answer
It looks like you scrubbed away the top layer of paint. There's no way to scrub it back on.
If you have the paint, you can easily blend it in, though fading due to age may result in it being slightly conspicuous.
If not, get a paint match (for both color and sheen) and paint the entire wall.