CFW makes your console region free for PS1 and PS2 games so you don't really need to convert to DEX. I have a PAL console (CECH-2504) and have no trouble playing NTSC PS1 games.
Please note that AFAIK the PS3 can't convert games, i.e., if you play a PAL game it will output a PAL signal. This is more of an issue if you use the analog output. Shouldn't be too much of a problem if you use HDMI, as long as your TV supports 50Hz refresh rate.
Oh ok, I get it. So now, I need to do something else to update the CWF? Or just download and install it via USB and select the "Install Update" option on the PS3?