Ad 1: Yes, there is: it is more work and you are creating legacy code, instead of portable and durable database-independent designs. If your conceptual model actually looks the same as your database model, something is wrong.
The normal steps are: CDM to LDM to PDM. I usually do the CDM outside PowerDesigner because PowerDesigner really doesn't get it and made some atrocious choices in their modeling support. The LDM is then the first model you create. This is a database independent item where you can model the appropriate constraints for the database, including super- and subtyping. If you do not use that, you probably don't model all of the constraints and you likely end up with tables with a lot of optional fields and a "type" field.
If you start with a PDM, then you lose some options and you tie it to a database. While you can change this rather easily, starting with an Oracle PDM does limit your options rather more than starting with, say, SQL Server. It also tends to support modeling choices that are very much tied into the application needs instead of the business needs, and thus when the application gets replaced, you end up having to remodel.
Ad 2: See the other answer.