PIO transfer mode goes back to the introduction of IDE. Essentially, the CPU controls all data flow between the devices and RAM in the computer. While this was (and is) bareable with older (slow, <486) PCs, faster data transfer requires more intervention by the CPU.
Therefore, DMA was devised. This provides direct memory access to devices connected to the PCI bus, bypassing the CPU. Therefore, CPU usage is reduced and transfer speeds are increased.
DMA is better than PIO. (Ultra DMA is faster than DMA )
The only reason I can think of, completely off the top of my head, for running in PIO mode is low-level data verification. It's conceivable someone could write a device driver that would verify data before it's stored, flagging invalid data to be retransmitted immediately. This may already be done, but it's an example.
Personally, I never buy from computer fairs. Firstly, you can't always trust them. Second, eBuyer isn't that expensive, is a reputable company, and /is/ a company, meaning you do have easy comeback if anything doesn't work. Although, it does depend on how much you are spending. To lose a fiver is one thing, Â£200 on a spanking graphics card is another...