LR leaves RGB images in their embedded color space; they are not converted to linear ProPhoto RGB. I don't know what happens to image files that lack an embedded profile, but the assumption of sRGB would seem the most logical policy. Internal calculations are done to 16 bit accuracy even though at export they may be rounded off to 8 bits.
My objection to that blurb on the External Edit page is not regarding somebody experienced like you, but consider the naive and virginal new user who may be using PSE as his pixel editor. He sees that ProPhoto RGB is recommended and he certainly doesn't want to be short-changed on his colors. Then in PSE he has to convert to 8 bit if he wants to play with the image some more. I don't know PSE, does it post up a warning to somebody who edits ProPhoto RGB in 8 bits? Or even if he has PSCS, if he attempts to give his image more zing by pushing up saturation he will be creating new colors that are within the ProPhoto gamut but invisible on his monitor, so he won't know what he has done. If he eventually converts to sRGB the gamut clipping will be much greater than if he had exited LR with sRGB.
