Feurio can't burn data CDs.
CDRs don't need to be formatted in order to be burned. Just burn them without formatting them. Formatting is aimed at allowing partial erasure of CD-RW.
You mean to create an ISO CD ROM ? If Nero says that the files must be converted to the CD-DA format, it means that you asked for an Audio CD instead of a CD-ROM.
The kind of CD ROM compatible with Windows is CD-ROM (ISO), something that Nero didn't find useful to state.
You can fit 65 min of CD-Quality Wav files on a 74 minutes CD, and 70 minutes on a 80 minutes CD, because, while the data is the same, burning a CD ROM use extra space to store error recovery information.
Lossless compression is lossless. Flac, Lpac, Monkeys Audio are examples of lossless codecs.
The advantage of burning wav files instead of audio CD is that you don't need a secure ripper in order to detect read errors. With audio CD, if the CD gets damaged, a non-secure program will rip garbage and won't tell you !
If you're worried about data integrity, don't store it on CDRs. CDR loose their data after a few years of storage. Storing reliably some digital data require an organized backup process, with regular checking. External hard drives is the media that seems the more suited for data backup.
Hard drive can die after a few years of use too, but it's much easier to check and replace than CDRs.