When converting a FAT filesystem into NTFS, what are the pros and cons of
using convert v. format, other than the backup issue? E.g. is there a danger
to the integrity of the files under conversion?
There is no need to format.
To convert to NTFS, you use the CONVERT command. But first read
http://www.aumha.org/a/ntfscvt.htm because there's an important issue
regarding cluster size that isn't obvious.
Also note that conversion is a big step, affecting everything on your
drive. When you take such a big step, no matter how unlikely, it is
always possible that something could go wrong. For that reason, it's
prudent to make sure you have a backup of anything you can't afford to
lose before beginning.