I think he refers to UMD movies (NTSC as opposed to PAL) On that regards, CFW PSPs can change their region to a different one through the Recovery Menu (meaning that a JAP PSP can act as a US PSP). In terms of playing UMD Movies from different areas there are contradictory reports. Some users say they were able to play UMD movies from different areas after using this emulation and some others say they could not. I have a JAP PSP and live in Europe, so I do not have access to US UMD Movies and hence I cannot try and verify if this information is true or not. I can only suggest you give it a try and who knows, you may be surprised. In case you try, let us know ehat happened because I´m curious

Regarding your legally purchased PSX games from the PSN Store, I believe the latest Despertar del Cementerio (v5) from
Dark_Alex back the contents of your F0 memory 8where the Settings from the PSN Store are located) before installing the CFW, and then it copies them back so you still keep all the settings once you are in CFW. So if you do use pandora, make sure the memory stick has been done using DC v5 rather than an older version or even the original Pandora Release which probably won´t backup those contents and therefore you will have to purchas those games again.
Finally the only feature that disappears in the CFW on Fat PSPs is the Location Free Player, who almost nobody owns, so you should not have a problem with that. There is even a way to recover it in case you want to install it afterwards.