The ArcGIS Desktop applications are built using ArcObjects. The Add Data command uses workspace factories, workspaces, feature classes, etc. when adding data to the map. Not having the data already in the map will affect performance because more time is needed to make the data connections. Other than that, it should work pretty much the same.
Yes, use IWorkspaceFactory to open a workspace (IFeatureWorkspace). Use IFeatureWorkspace.OpenFeatureClass to open the datasource.
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