The issue with the PP is speed, and stability.
Even with a rock solid system, the PP is still limited to the number of pulses it can output, which for the majority of users isn't an issue, but for those running a system needing high step counts, it's an issue. Speed isn't just a Mach issue, it's a EMC issue aswell. There is also the issue PP isn't good at handling quickly changing inputs.
As for stability, it's a typical driver issue. For CNC the PP has got to be perfect, and no driver is ever going to be 100% perfect on every system.
The PP driver has been completely re-written for Mach 4, and all reports are it's solved a lot of issues, however it won't ever run on anything past windows 7 or 32bit, due to how MS are locking down the core of windows in 8/64bit onwards.

As for the original USB Smoothstepper, and the Ethernet SS, the ethernet is more expensive because of the additional ethernet bits, and I think it also has more onboard memory. The main benefit of the ESS, is reliability. USB can have issues with interference causing the SS to lose communication and requiring a complete system reboot to work again. If you have the money, I'd get the ESS, as it eliminates a possible issue. And yes, if you don't want to risk cooking the SS, a BOB is still recommended, plus it makes wiring far easier.