I have a feeling you might be a bit overwhelmed now with all the information coming at you, and a search for messages posted by Greg_Jones and mentioning “indexing” might give you a bit too much to digest right away.
The key drawback of indexing, as I understand it, comes when you get a new Mac. With a database where all the PDFs and other files have been copied in, simply copying the database to the new Mac is all you need to do. With a database with indexed folder(s), however, you also need to remember to copy the indexed folder(s) over and repoint DevonThink to it/them.
@rickl: There is more to the situation than a situation where you’re migrating to a new Mac, and also why I advise being thoughtful and reading / asking questions about indexing. In fact, I had a support ticket very recently where someone had a misunderstanding about indexing and was filling his hard drive with excess data unknowingly!