When you plug your phone into your computer in 'Mass Storage' mode, it does indeed unmount the SD card and you can't use/view anything on it. Some people also say that apps run slower if moved to SD, but I haven't noticed it, and it wouldn't be MUCH slower.
I've moved a few in the past, but like Mruno said, there's sooo much internal memory on this phone, it's not necessary at all really.