Good questions Wedge. These are some small questions with big answers. I have been pondering how to answer this over the past few hours, so I hope I don't get too long winded.
For the first part, yes, you are hearing a mixture of the raw source track and the effect track. The send essentially splits off a clone for the bus.
You could set the track output(s) to a bus, to apply a common effect, and that may work just fine.
Is it harder to adjust the volume levels with the sound coming from two different places? Yes, and no. Yes you do have more to keep track of, and this is one reason it is so important to have everything end up at the master bus(or bus A as you are seeing it. You can change the name if you like). However, by uncoupling the source track output from the effect, you can control them independently, which can make it easier to get the sound you really want.
I have a long history with painting and photography, so I tend to draw a lot of parallels to that. Your source tracks, with the instruments and vocals, are the colors on your palette. Reverb is light and shadow. It is this that gives the picture depth and dimension. If you apply reverb to you track outputs, it can be like flat lighting, where nothing really stands out. By allowing the tracks to come through dry, you can create the illusion of the instruments being up close and intimate, while the effect in the bus defines the space you are in. It gives you much more control, and you can get a more three dimensional effect to your recording. Light and shadow. This is why your average snapshot of the Grande Canyon never looks like the pictures in the magazines. And it's why so many home recording don't sound professional. Of course, there is much more to it, but this is a key element.
I use reverb as a typical example, but many effect are more effective when using a bus. Experiment, and compare what you hear to recordings that you hear on the radio, CDs, the Songs forum, etc. You will start to recognize what you are hearing people doing, and you can apply those techniques to your own songs.
Hope that helps. Good luck, and enjoy the journey.