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,
Hb Apps (Calculators, Msn messengers, Yahoo Messengers,....)
And much more.
Play any game you want. Though i do not support piracy.
VLC for psp:
Play any video format on your psp, no more converting
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