--PB doesn’t integrate with Entourage, although there is a request in the UserVoice forum. Currently it only integrates with Mail, Address Book and iCal. This integration doesn't use drag and drop either, you have to use the search function.
--There is no insert key, which is a bit of a pain. I've taken to using F6 for add child, F7 for parent and F8 for jump.
--Shift/Delete should work, if you are using a regular keyboard use the forward delete, not backspace delete key.
--The F functions should work, make sure you enable them if you are using a laptop. I have an iMac, so I'm not much help there.
--That's not normal, you may check your java version, or try uninstalling and re-installing. Or post about this in the Issues forum.
--Yes, this can be annoying, it's a windows only feature. You have two options. Copy the url (command L in Safari to go to the address bar), and then right click on the thought or on the Properties and Attachments tab and choose Paste Web Link.
The second is use Exposé to pull up the PB window while dragging the url, and then drop it in the plex.
Hope this helps. Yes PersonalBrain is still not up to feature parity with the Windows version, but they have come a loooong way since 4.0.
Java SE 6