I was initially resistant to the full mask, thinking it would feel more restrictive than the nose-only, but distributing the pressure over a wider area ended up feeling a lot more comfortable.
Similarly with the heated hose, my initial thought was that it would feel like breathing hot air all night. The the actual effect is that it keeps the added humidity from condensing out out of the air and gurgling in the tube.
I did also post to one of the apnea boards with data from it and they helped figure out better pressure settings for me which did help some.
For surgery, it really depends on your body and what the cause of the apneas are. In my case, it is _probably_ due to tonsils + a long(?) palette. An ENT told me I could have surgery to remove the tonsils and also shave down the palette, but I didn't go through with it because it sounded like a terrible recovery time and didn't have any guarantee it would actually fix the issue.
If you haven't already, it might be worth talking to an ENT (Ear Nose Throat) specialist that also deals with sleep apnea. The oral appliance definitely sounds like the less painful option though.