The Ettus ones are more expensive.
Yes. You'll want to get the daughterboard covering the band(s) you want to receive. And since both the Funcube Dongle and the USRP radios are sofware defined radios, you'll need in each case appropriate software which is compatible with your hardware, and capable of demodulating the signal you wish to receive.
I think the main consideration between a FUNcube Dongle and any sort of high-bandwidth SDR would be drivers.
AFAICT all the FUNcube Dongle products present as a USB audio device, plus additional control (via HID most likely). So software written for them would expect to get input from a "sound card". There are other SDRs similar to this that also present as [or through] audio devices, e.g. the Softrock and Peaberry transceivers. Their control protocols might be different, though, and therefore you still might run into compatibility trouble.
The USRP radios are high-samplerate SDR devices and I suspect have their own custom USB interface, rather than showing up as a soundcard and passing the I/Q samples as if they were "stereo audio". Since there is no real standard yet for this [at least not on Windows or OS X to my knowledge, there's been at least a start for Linux], it usually requires specific support built into the app, or at least through a wrapper library like gr-osmosdr.
So unless the software you are trying to use already offers support for Ettus devices, I would expect that you'd have to combine a number of pieces of software: some SDR software like GnuRadio/Gqrx or HD-SDR or SDR# or similar to talk to the dongle, plus a "virtual audio cable" type driver that will take output from the SDR and deliver it as input to the dongle software. But if the dongle software may still be unhappy if it does not have access to the frequency control protocol that would normally be provided by a real FUNcube Dongle.