yeah when you format the hdd, about 2GB been used for system partitions but hdloader only use 128MB partiton to save its settings. also since hdloader is based on dms hdd format tool, it'll create 1GB BOOT partition too. this partition was used to boot homebrew elfs of the hdd with dms3 and if you don't have dms chip then it's a waste of space. anyway 3GB waste of space shouldn't be a big problem with 200GB hdd.
the only online ban that I've experienced was socom 2 and it was temp ban on the dna$ id and noting else.
yeah you can transfer your saves from MC to 3rd party HDD, look for MCManager V0.1 .