I haven't been able to get anything directly from FLAC to ALAC in 24/96. That's where using an intermediate step like converting to AIFF is necessary, at least for me. I use XLD to convert from FLAC to AIFF, then import to iTunes and convert to ALAC. This is the only way I have found of keeping the bit resolution and depth. I would use a program like Mediainfo (http://mediainfo.sourceforge.net/en) to make sure the files are kept in their correct settings when using Max, just to make sure.
As for pros and cons, I've never found any issues with the process, although as a general rule, the less converting, the better. With lossless files it shouldn't make any difference, as long as the original bit resolution and depth are maintained. I've found myself in the same file size boat as you, and that's the price you pay if you want your files to be playable on the iPod. But keep in mind that iPods won't play anything over 16/48 (I think), so using ultra-high-resolution recordings won't help unless you make an extra copy at a lower resolution for the iPod, keeping the higher one for desktop use. Hope this helps.