I am really sorry about the confussion, I don't know how many times this confussion with "XBee PRO" and "Programmable XBee PRO" has taken place...
Regarding your questions, with the programmable version you would have seen a different bootloader which accepts the CW files and no programmer is needed... after you flash it the first time (flash is protected in older versions).
And yes, you don't need to stick with P&E debugger, but the SDK is made to work with that... you can use USBDM, but it's not integrated in the SDK and you will have to modify the connection and launch configurations in CodeWarrior (yes... I could give you some advice, but don't expect me to do it for you, I haven't touched a Programmable XBee in months
The main problem is the bootloader, P&E debugger is configured by the XBee SDK to avoid erasing the bootloader and Virtual EEPROM flash partitions, so you can make remote firmware updates and other stuff. With USBDM you would need to modify the linker files or launch tasks to get the same functionality (if it's even possible). But I think that you could deploy an application without bootloader with USBDM, and for the final application flash a bare bootloader (no special "magic" needed for doing this with USBDM) and then upload the application built with the official SDK through the serial port.
Finally, bear in mind that USBDM is open source and in their homepage
they give some other manufacturers that use their design.