Problem with changing the rule is when a ball is LOST then how do you know where to drop? In my years of playing this silly game and searching and finding balls, I have observed that most of the time people search well past where the ball actually was. Taking a penalty stroke and then dropping and playing from the spot where you "think" your ball may have been lost opens a can of worms to say the least. For one if you really were anywhere near where your ball got lost you would look down and find the dang thing!
OB (not OOB btw) is a slightly different thing, it is possible, just like a lateral hazard, to estimate where the ball crossed the line and play from there with a penalty. That being said I still don't understand why someone wouldn't hit a provisional if their ball goes in the direction of out of bounds.
Yes. I weight down my wedges for that reason. Better tempo, too. I like the feel of a heavy club on a pitch shot or in the sand. I never take a full swing with my wedges anyway, so any disadvantages that come from weighting doesn't really matter there.