I've used printed pdf patterns before, but never for a large garment like a dress; I think one was a cover for my stand mixer, a few for sewn hats and diaper covers/ soakers, that kind of thing (no more than like a dozen pieces of paper). I like them, though the lining up and taping is kind of a pain.
The heavier paper has pros and cons: the printer paper doesn't tear if you sneeze on it like the tissue patterns, but it's not as flexible when pinning it to fabric. I've only used them with quilter's cotton or thicker fabrics; I suspect for a lighter weight material you'd have to use pattern weights and/or trace with tailor's chalk rather than pinning.
As for questions of paper size, the pattern should say what to use. I don't know if UK/ Euro/ Asian patterns would be any different (I think the standard for the rest of the world is A-4? so maybe it's just taken as given, like the metric system?)--I honestly don't know enough about how pdf files scale when you change the paper size, though. If it doesn't state the paper size on the download page, ask the seller or chat/ email customer service, they could probably clarify.
I've only used free patterns, but I wouldn't hesitate to spend money on a pdf if it was something I really wanted and was too complex to figure out myself. The cost of the paper is pretty minimal; I have no idea what it might be at your local library or copy shop or whatever, but the last time I got photocopies made (from a pdf) I paid US$0.20 per page. The pattern should have the number of pages in the description, so you can guesstimate the cost to print before buying the pdf.
Speaking of free patterns, you could use one to do a test run before buying a big pattern--something like a hat or a tea cozy or whatever, as long as it's big enough to span multiple pages. Just google "[whatever thing you want to make] + free pattern pdf" and skip all the AI garbage and the pinterest links. Or, if you just want to get the feel for using taped-together printer paper, tape together some printer paper and trace an existing pattern onto it (or draw out your own, whatever) and use that to play around with different fabrics.
Oh! Almost forgot--not all pdf patterns have seam allowances. They'll usually tell you if they do or don't, and what size the allowance is. For me, it's a pain to have to do my own seam allowances and that might be a dealbreaker for me if I were going to spend real, actual money on a pattern.