with PMMA you will need to adjust your die spacer to about 3x the normal size, mostly due to material shrinkage. if you have a mill that accomodates a shrinkage factor for each puck, and expands designs by that factor, then when you make PMMA pucks try making the shrinkage factor 1.002 and using only double the die spacer.
yes it is tougher to burn out a pmma coping, but for the stability of a margin that was designed properly in the first place, it is beneficial. mostly this is for knife edge margins, or long shoulder preps / high linguals or other sharp edges.
for full contour it doesnt too much matter if you do PMMA or Wax milling. mostly though wax is cheaper and not so tricky on a dry mill, as extended milling times can snap tools when you do PMMA.