1) There is no 'correct' answer; it comes down to choosing how you prefer to do it. On the one hand, yes, you can create a physical object shaped like a light bulb, and you can assign an emitter material to it. In this case, I am saying that it is best if you create this geometry as a mesh object, rather than a NURBS one, so that you directly control how the mesh is created. As you may or may not know, Maxwell does not (same as many render engines) directly render NURBS; it renders what is know as the 'render mesh', which is a mesh-representation of the NURBS object, and which is, incidentally, also what you are looking at in your OpenGL viewport when you are in Rhino (graphics cards cannot display NURBS surfaces directly). You can control how NURBS objects are meshed using Rhino's Object Properties page, but it is sometimes just better to skip the middle-man and model an object using a mesh in the first place.
Alternatively, as you guess, you could definitely skip the bulb altogether and put an emitter material directly on your lampshade. Here, you could use a normal emitter, or you could use an image-based emitter (i.e. use the emitter's 'Image Emission Texture' mode in the plugin material editor) assigned to the lampshade. As I say, there is no 'correct' answer here. Different strategies will be better suited to different scenarios, and the determination of which method to use comes down to experience.
2) What I mean is that it takes longer to render when you have more triangles in your emitter meshes. As I detailed above, using a mesh object directly, as opposed to a NURBS object, allows you to more directly control how that mesh is built. On the question of why you cannot put a material on your lampshade, I really cannot guess; you would need to describe a bit more about the situation. There is nothing specifically prohibiting you from doing so, but maybe you have found a bug of some kind. Let me know what you meant.
Next Limit Team