You can convert PFX to poly too, what ever you do hair, fur or paint fx using MR or MS its still gonna take a while to render any way.
Blendshape is for example, a way of creating facial expressions for characters. Basically you can create several copies of your head model and change the mouth to a smile, the next one you might raise an eyebrow, then a blink and so on. Once you have done this you feed these back into your head model by shift selecting each one but making sure you select the original last, then go to animatin menu, deform, create blendshape. then if you open the blendshape panel you'll have some sliders from which you can make your character smile etc. Its also useful for correcting joint deformation on a rigged character. I hope this makes sense