It's best to use the Video Importer in Premiere Elements, which simultaneously downloads the video and adds it to your project.
But you can also use your method.
The chief advantage to using the Premiere Elements method is that, at least when you first use the program, it can install some much-needed components for working with this kind of video, if you need them.
When AV files are Imported into PrE, they are Conformed, creating CFA files (for Audio) for editing, PEK files for Waveform Display, and with MPEG files, they are also Indexed. This process is necessary, and is explained in this ARTICLE. One should let the Conforming complete 100%, before using those files, or there can be truncation with the CFA and PEK files, resulting in only partial Audio. On weaker systems, if one does anything, during this process, it can crash the system, or PrE. I just Import, and sit back with a cup of coffee, until everything is complete. In most cases, this takes but just a moment.
As Bill told about the files created by conforming process and mentioned his very informative article about conforming, you should understand that the main purpose of creating these files by conforming is to let user play & mix audio in realtime.
This process does not change your source footage in any way.