1. Yes, but hardly worth mentioning on a modern system.
2. No, but you only need to render the final sequence. Rendering earlier sequences will not carry forward to nested sequences.
You will be hard pressed to find those limits. There are examples of people with over 30000 clips in one project.
- will it 1) eat up *more* of my processing power and RAM and/or 2) will it lengthen my render time - to nest sequences than to edit the pieces within a single sequence?
- are there limits to file sizes, where my system won't be able to handle the files?
I am not aware of any.
- are AE files as easy to process as PP sequences from other projects?
Typically no, as most people go to AE to do things that Premiere can't do on it's own. These 'effects' do often require more horsepower to process.