Question Nested prefabs for Blender imported models?

I'm in the prototyping phase, so I'm creating some very simple models in Blender (not usingtextures for now). My doubt comes when I import the models from Unity, because I was using two approaches:

Option A:
For now I'm using the same .blender file directly in Unity (I see that it is mostly recommended to export the models in .fbx, but I haven't had the time to investigate why this is exactly). So, when I import a .blender file, it appears in Unity editor as this box with a black stripe on top, which I believe means that it is an imported mesh. When I drag this into a Prefab I already have (with other components), it organises itself as a sort nested prefab (considering that this blue box with a black stripe could be considered an imported Prefab, which I'm not sure it can).
Anyway, in the inspector I see that only 2 components have been added: a MeshFilter and a MeshRenderer.




Option B:
This happens when I drag into my original Prefab not the whole imported mesh box, but only the Cube element pointed below. In this case, the model is rotated, the material appears missing (which is OK since I will add a simple Material later from script depending on the player), but in turn, I also get a MeshCollider, which I was not getting with option A.



So my question are:

1) When importing a Blender file, is it common to attach the model to an existing Prefab as its child as I do in Option A? Or do the Mesh components usually get attached to the Prefab object itself like in Option B?

2) Is any of the 2 approaches I described above correct? I can see that both of them have something twisted, but I don't know which one is the one to correct.

3) Also, is it really a bad idea to be using the .blender files directly instead of .fbx?