1. Downgrading your system is completly legal. actually sony shoud provide a tool to do it.
i dont know about CF's.
2. Well, having a psp with a CF is VERY usefull. Homebrew, Not only MP4 miovies, Backups,
...
3. Features?
Homebrew:
Hb games
Hb Apps (Calculators, Msn messengers, Yahoo Messengers,....)
And much more.
Backups:
Play any game you want. Though i do not support piracy.
VLC for psp:
Play any video format on your psp, no more converting

Emulators:
Play Gameboy, Snes, N64, PSX, .... on your psp.
There are probably more things you can do but i'm not gonna say everything.
4. If you use a pandora battery. the risk of bricking is gone. well it isnt but you can easiely fix it.
and still. bricking chance is only 2-3 % if you do it right.
I have downgraded like 15 psps and not bricked any.
Well i do have semi-bricked my own psp by messing with the Flash-0
Hope i've helped
