Regarding your problem picking a surface for the cylindrical support: the surface you are picking will need to curved. If you pick a flat surface, Workbench will ignore it. Otherwise, this facility works fine.
It's also very difficult to compare DesignModeler with ANSYS itself in terms of pre-processing, as each has very specific functionality. Modeler is excellent for defeaturing and for generally preparing the geometry for meshing, but has very much reduced functionality for parametric design, which is where ANSYS is in a league of it's own. Also, within DesignModeler/Workbench everything is geometry driven, which can be quite a restriction in some instances (as you've found). I've found that it's best to have both DesignModeler and ANSYS available, or maybe Workbench along with a good CAD package, Solid Edge for instance. With Solid Edge you can split surfaces etc. and produce multiple volume parts very easily (with bi-directional associativity) - I'm surprised at Pro-E not being able to produce multiple volumes.
Finally, as you say, mass21 elements are not available. Only shells, solids and beams. Given time, I'm sure this and other much-needed functionality will be incorporated into Workbench.
Best of luck,
-- drej --