With multiple databases you can split things how you desire - some people want to keep a different database for their own play for each year, or a different database for each site, or a different database for played and observed hands. Personally I've only used the latter, but we have the capabilities so that whatever you want to use them for they are there.
Custom statistics are what they sound like - you can build your own statistics that can then display in any PT3 report or on the HUD. For example, I built a stat to show how often a player wins at showdown given that they got to showdown and raised some postflop street. If you can find a way to put it together given the information in the database, then you can display it - which gives you a huge amount of customizability. If you'd like to learn more about custom statistics, take a look at the
Tutorial: Using Custom Statistics and Reports. The custom reports part of the tutorial is accessible in the trial, just the building of custom stats isn't.