If you uncheck the "Render with poser tree" any special materials that the pz3 uses won't appear exactly as you might expect.  I almost never use the poser shader tree - for people, I use SkinVue and for things, I tend to use Vue materials.

It will slow Vue down if you import a pz3 file but it depends a bit on which options you use when you do the import.  I just check "group objects as single meshes" and "import single frame of animation" (I forget the exact names of the options but they are close enough :) ) then import frame 0 if I've not used any dynamic cloth or whatever the frame number I want to use from a sim

I don't know as you'd gain much by importing the .obj file - you'd lose the ability to make a change in poser and have it recognised when you reload the file in Vue

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