This is incorrect, you can definitely embed PDFs as Walrux mentioned above:
To convert the pdf to a markdown note you could try pandoc or I believe there is a community plugin that does that (I haven’t used it, so I can’t say exactly how it works).
For this last part, you can use a linked file:
With linked files, Zotero only stores a link to the location of the original file on your computer. Linked files are not synced, nor are they deleted if the attachment item is deleted in Zotero.