- It gives you prestige
- Makes it easier to handle your kingdom (controlling 60 count vassals is harder than controlling 20 duke vassals)
- Allows your vassals to expand on their own (i.e. if your duke owns 2 of 3 counties in a duchy, you can press the claim on your own, or you can let him do it himself.
- Dukes are more likely to make improvements on their own (since they gain more money), so less micromanagement.
The main reason to me is #2 above. My first game I didn't make any duchies, all counties reported directly to me, which was all fine until I wanted to change a succession law. One of the requisites is that no vassals can have a negative opinion of you. Try to achieve this when you have 60+ counts to take care of and a bad king with no heirs. I just couldn't do it.
As for your second issue, when you give the duke title to someone, it's only a title at that point, you should either give the duke the counties in the duchy if you own them, or if the counties are controlled by your vassals, do 'transfer vassalage' of the other counties in the duchy (barons most likely) to the new duke if you want to remove the 'desires such and such county' penalty.