Halimeda can also "go sexual" too, and it also buries its roots making it hard to take out completely.
I've had caulerpa in my dt twice including now and I find it grows very quickly and takes over corals at an astonishing rate. It is however a very effective means of nutrient control, so I guess I take the good with the bad. I try and trim it regularly so it doesn't effect my corals and it seems to work fine by me. I watch for it to turn sexual and if it starts to I can easily take it out before it does. I try to keep it to a minimium though by adding other macros which also soak up nutrients. Chaetomorpha is my favorite, but it does seem harder to grow than caulerpa for me, atleast for a while it seemed that way. I now have a huge ball of chaeto that grew from a very small one.
To answer your questions r0bin, even having a small refugium has its benefits, so I would say go for it. You dont have to plant most macroalgaes except for some like halimeda, shaving brushes, and mermaid's fans. Some people use miracle mud which has some benefits, but sand does seem to be by far the norm. The light some say isn't a big concern, but I've tried growing chaeto with many kinds of light and I find it likes bright light in the daylight spectrum like 6500K. But mine also grew under MH 14K bulbs.