Amish,
I have done a bit of investigating recently comparing the relative strengths of Rhino and Pro/E, as well as a number of other related pieces of software. I'll offer you what I've learned.
Rhino and it's related competitor Alias/Wavefront are Industrial Design software tools. They have strong surfacing capabilities and their strength lies in the ease with which you can generate and change surface profiles. These are the surfacing tools that lead to Hollywood animation effects. Changing a surface is as easy as grabbing a point and pulling it to deform the surface. These are not engineering software packages. They have no means of creating an engineering drawing or being used to perform FEA analysis, etc. Not sure about assembly features. Alias/Wavefront came first, it's the "Cadillac" of the industry and priced accordingly (Not unlike Pro/E?). Rhino came later, it's VERY cheap (free for demo software on the website) and is being marketed hard to ID students to try to break Alias's grip on the industry. It appears nearly as fully featured as Alias for a fraction of the price.
It appears that getting surface data from either package to Pro/E is similar. At best you can port a STEP or IGES file that results in a "Dumb" Pro/E surface. That is, one which can not be changed within Pro/E. If you spend much time using Pro/E as a surfacing tool I think you'll discover that surfaces created IN Pro/E are fairly easy to work with. Those created outside Pro/E and ported in are essentially one big feature that has only limited use. If you don't intend to change the surface once you've moved to Pro/E you're probably okay.
Hope this helps. I've got more info on other pieces of software that can be used when scanning (digitizing) physical models and trying to convert the data to surfaces if anyone is interested. (Geomagic, Metris, Paraform).
Bob Kerila, PE