Wlecome to the world of H/PCs. I hope you'll be with us for a long long time
The absoloute maximum storage device size that 2.11 can handle is 32GB. As no such card exists, you wont see a problem. From a personal recommendation stand point. I would keep it under 1GB, and certainly under 2GB. Given the price of the things and their R/W operating life expectancy, they're just too expencive for any higher. You also have to consider how unrelaible FAT32 is.
As for installing applications. I would say that 90% of apps can be run from CF. Around 75% will still work after a hard reset. Others you will need to reinstall from the CAB. With such applications, I keep the cab on the CF card, and flag it read only. Under 2.11 this will stop it from deleting after install
(note for 2.00 users, this doesn't work
). There are always problem applications though such as textmaker and planmaker that will require reinstall from a Host.
I've never used a USB adapter - I have used the legacy Com 3 dongles and built-in PC / Laptop ports. I don't see any reason why the process would be any different. In fact probably easier because you don't have to dos about with COM assignments. Do remember though that while USB adapters may be 4mbps, the HPC will only throughput at 115.2kbps.
... no, that is a pipe dream. Although I have seen a web site in recenemt months made by a Japanese fellow, which shows how to add one should you be electronically capable.