Since there is not answer from the PB Touch HD users, some comments here:
1) I don't own a PB Touch HD but have a PB Lux 3.
2) I'm not aware that the "Open with menu" working with newer firmwares but
selector is helping there (with some pdf adobe viewer doesn't start, don't know why yet).
3) I did try Koreader quite exensively but found no reason to keep using it. The integrated pdf-reader of the device seemed to me superior. For epubs I use Coolreader.
4) Privacy: all those things can be switched off but are enabled at the beginning. No need to register the device.