Dan,
I have not yet done any FEA on welds in SolidWorks (mostly static FEA solids or shells for sheet metal parts). However, instead of using the actual weld feature, SolidWorks uses an Edge Weld Connector (see attached image). I have not done any FEA in Pro-E, and instead export the files over to SolidWorks to do an FEA study, so I cannot comment on Pro-E's FEA capabilities either.
As far as creating welds in SolidWorks, I prefer to work in weldment function which treats the file as one part (Top Down Design) with separate solid bodies used to create a cut-list. The solid bodies are not merged together, and can be exported as separate parts if needed. The weld fillet beads can be added (see image) as features which are recognized as welds.
It is possible to create weld beads in a SolidWorks assembly as an assembly feature, but I do not like to do that. The reason is that the assembly weld bead creates a separate part (at least as of SW2010). So you could have two parts welded togther with several weld bead parts in the directory. For that reason, I prefer to add welds only to individual parts or to a weldment part (similar to an assembly in TDD) containing multiple solid bodies (weldments).
As far as which is better for creating welds (Pro-E or SolidWorks), I cannot say for certain as I typically focus more on designing injection-molded or sheetmetal parts that do not require welding. Most people I know just use the welding annotations (symbols) either in Pro-E or SolidWorks. I am thinking both could use improvement in creating weld features.
Chris