Let me try to answer your question in reverse (assuming that extension cord is quality built with low guage wires).

2. Are you exposing your audio/video equipment to a stronger likelihood of Surge Damage even though it is still connected by extension cables to the surge protector?
I don't see any reason why your equipment be more exposed. The surge have to go thru protetor first.

1. Are you losing some power/effectiveness on your TV/Receiver/CD player/broadband modem, etc., when they are connected to your surge protector by extension cords?
This is the tricky question. If surge protector also have AC filtering, then answer to your question will be yes since you will loose filtering protection of surge protector. All the noise picked up by extension cord will be directly fed to your equipment.

But if your surge protector is one of low price brand with no meaningful ac protection, then answer to your question will be no.