The titles that come with your purchase are titles that, for the most part, are indeed available from Gutenberg and many from MobileRead - just to name two sources.
Those books, however, are formatted by Sony and formatted the way they want them formatted. This is, or is not, a good thing depending on your personal preferences.
Whether they come pre-loaded on the Reader or they are on a CD is one only of convenience; but again, depending upon your personal preference. If you don't like their formatting and the titles are on CD, then you're in luck. Put the CD away and forget about it, since you won't be putting them on your Reader, anyway.
Remember, also, that you will have access to your free books through their library whenever you want them.
I'm a hoarder, so I like to have different versions of the same title, even though I personally feel that they're formatting is inferior (but only on these $1.99 classics.)
But always -- and this is the important part -
HAVE FUN! 
Don