If you have to convert the WMV file *anyway* -- you might as well go straight to ProRes 4444, 422(HQ), 422, or LT. Blow off any intermediary formats.
ALL MPEG formats are compressed (lossy). ProRes IS a compression, but "virtually" lossless. FCPX is a "native speaker" of ProRes... It just stands to reason not to step on the original more than is necessary.
MP4 (mpeg-4) is "old and lousy." H.264 IS an mpeg-4, BUT it is a newer ("new and improved!") and better delivery format (none better, IMO, so far -- it's also the codec that gets Apple's and Google's/YouTube's "seal of approval".)
.mov is a quicktime file. A Quicktime file can be any compatible codec that it can read (ProRes, Animation, MP4, H.264, DV, DVCPro, Photo JPEG, PNG, etc., etc... as long as the codecs are installed) "MOV" doesn't necessarily have any specific meaningfulness other than it will play in the Quicktime and compatible applications (including FCPX). A MOV can also be an audio only file, by way of an example of being just a container. A MOV can also contain text tracks, masks, and sprites.