Why is the PDF as big as my photos?
Because the JPEGs are inside it unchanged; a PDF is a container. Compress the photos first if the PDF has to be small.
Which dpi should I pick for PDF to JPG?
72 for a screen, 150 to read comfortably, 300 for print, and 600 for fine print or for OCR later.
Will my photo come out sideways?
No. The orientation the camera wrote is applied on the page, without encoding the picture again.
Is the GPS position in the PDF?
No. EXIF, XMP and IPTC are left out of each JPEG on the way in; the colour profile stays, so the colours do not shift.