well in response to number 1: on PS3, PSN keeps track of everything you've bought/downloaded and if your system ever crashes you can download everything again. If you want to, you can even put your account on a friends PS3 and download everything you've ever downloaded to their PS3. The only limitation on that is that you can only have your PSN account loaded onto 3 PS3's at any given time.
Honestly, I can't think of any drawbacks of downloaded games. They are generally cheaper than retail games, but obviously they are not going to be as large as retail games (i.e., you won't be seeing Resident Evil 5 as a download anytime soon)

On 360 if your system crashes, microsoft is the same as sony. You can re-download any item purchased under you profile.
As for problem #2, I hate it as well. 360 owners cannot buy a digital game and play it at a friends house.(I dont kno of any way to do so)

I think with the 360, as with DLC, if you sign in on another console you can play the games on it as well.

I do enjoy collecting games though. I much rather buy them.

Maybe Capcom can sell those press kits with a download code at game retailers. I'd love that.

Here's another downside that no one has mentioned so far: Some downloads take up a good chunk of hard drive / memory card space.

Usually with digitally distributed titles (and I think also DLC) on PSN or XBL or Steam, the purchase is tied to your account, so even though you might delete it from your console or PC, you still can redownload it in case of an error. The whole "you can't bring it to a friend's house" is a bit regrettable. I guess you could always bring the hard drive or memory card over? (well maybe not so much with the PS3....)