This works on the Droid X with non-rooted 2.1, correct? Correct.
After hitting the "Root" button, I will not lose ANY data or anything like that, right? Right.
Once rooted, the only thing the X can really do is wireless tether and remove bloatware? Yes, and run "root-only" applications. But I am NOT removing any bloat yet. I did and had to reinstall and assign them as "system apps" so that I'll be able to update when the time comes. Also, if (when) the bootloader is cracked, you'll be able to load custom ROMs.
How can I unroot? Through the same application? There is an option for that but I haven't tried it yet. But I have unrooted the X before using the ADB method and it went fine for me.
BTW, I'm sure you saw it but the application was pulled from the market.