No, make sure your firmware is updated past 2.80 (if you are just buying one, it will automatically be higher than that) as prior to that firmware the PSP couldn't even read more than like 4gb I believe.
As for the formatting, you ALWAYS, no matter what memory card you buy, format it from the PSP and NOT your computer. That's standard.
As far as removing the cards from the adapter, you won't want to anyway, they are so small I was afraid I might lose them if I took them out. You have no reason to take them out anyway as no computer has a slot for cards that small without the adapter, so if you want to hook it up to any device (besides a cellphone), you will need it in that adapter.
And for the USB transferring thing, I always keep the memory card in my PSP anyway. Even with my old pro duo card I always transferred data via USB. I don't like taking things like that in and out over and over, it just opens up the possibility of breaking/losing/shorting something out, and I thought it was more convenient that way.
You can just keep the card in the PSP all the time, hooking the PSP up by USB (real easy and quick) to put games/videos/music on it. It's real easy and I think it's almost more convenient than taking the memory card out, putting it in your computer, transferring, then putting it back in your PSP. This way you just plug it in then unplug the PSP to your computer/PS3.
And to answer your question, no I have ever had any problems. No corrupted data issues, no nothing. It works just as good as my old 4gb (sony pro duo) that I had. This is way way more convenient though.