Is there an advantage to SDM over CHDK?
I use SDM for stereo photography and I think it is more user friendly for general photography as well but I suggest you study the CHDK wiki and the SDM site and decide for yourself.
I am not quite understanding. The card reader is mostly for convenience?
Yes it is.
If I don't use it I will have to move the SC card from unlocked to locked when I am loading CHDK on my camera? Then change it back to unlocked to take photos and when I download the photos to a Windows PC?
No, you do not unlock the card to take photos, with CHDK / SDM, the camera will write to the card even though the switch is in the lock position. With an unmodified card reader, downloading to the PC is also possible while the card is locked but to write to or erase pictures from the card, you will have to unlock it.
All the answers to your questions can also be found wiki and the SDM website.
Frans