1) Domain transfer -- I can't see a good reason for doing this. If you have all your domains together at a third-party, I say keep them there. The only reason they might ask you to transfer the domain is that they want to manage it and ensure that it doesn't expire. Some companies/people are pretty bad at remembering renewal, but sounds like that's something you're able to handle yourself.

2) DNS -- Pointing your domain's DNS to their servers make a little bit more sense if they're your host. They can help you with setting up records and things might propagate a bit faster on their end, but again, it's not a requirement and if you're comfortable with managing your own DNS and don't see a lot of DNS changes coming up, you can also keep them where they are at.

~Sovereign