As far as I'm aware, all of adobe's software has gone back to being cross-platform compatible. For a little while, some applications (Premiere comes to mind) had dropped mac support. An no, the software isn't missing any features between platforms.
If PCs can run the same software, display graphics just as well, run just as well, and are more customizable, then I don't see why macs are preferred in the industry. I've heard there used to be more difference between them than there is now. If the software I like using is available for PC, then next time I buy a computer, it might be a PC.
Tradition, mainly. And for the fact that there is no customization available--it keeps things simple. There are a few tools that are exclusive to macs, such as Final Cut, iPhoto, and iMovie. Final Cut is similar to Adobe Premiere, and up until this year, they were reasonably well matched (Apple really crippled this year's release of final cut, though). When looking at out-of-the-box features, I've found premiere to generally be superior, though some of the plugins available for final cut are very good. As for iPhoto...I have yet to find a windows application that can do a nice job with photo slideshows. As for iMovie...there really aren't any solid competitors for free or low cost video editing software--Most end up being unstable, hard to use, or missing essential features.
Is it really still cheaper to build your own PC? I've heard it used to be, but now it costs just as much if not more than buying one already assembled. It does sound interesting to learn how to build a new computer, though.
It only ends up being cheaper if you're building a high-end PC. If you start hitting the $1000 mark with a pre-built PC, it's time to look at a custom build.
For example, $3000 for an Alienware PC is ridiculous. The parts for one of those PCs can actually be purchased for around $1500.