You should really be asking PayPal those questions, since they're related to the services that PayPal provides.
Website Payments Pro lets you collect credit card payments directly on your site, without customers having to be sent to PayPal if they wish to pay by credit card. It also lets you collect credit card payments over the phone using their Virtual Terminal. You need to talk to PayPal about all the details of the services they offer, as well as the rates and cost effectiveness.
If your site doesn't already have a shopping-cart "store" on it that integrates with Website Payments Pro, then yes you'll need one if you wish to use Payments Pro on your website.
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Furthermore, any advice you see here about PCI matters is merely an opinion, and should not be relied upon as "official". Official PCI information should be obtained from the PCI Security Council directly or from one of their authorized Assessors.