2- I tried just connecting an ethernet cable directly between my Mac and PC and set up static IP on both but for some reason it does not work, but it works fine via the router, could this be because direct connection requires a crossover ethernet cable ?
How old is the PC and does it use gigabit.. with gigabit you do not need crossover cables.
However the two computers can get confused about negotiated speeds.. so set exact speed on each computer.
Set both to gigabit. Full duplex and see how that goes.. assuming a good quality it cable it should work.
If the max speed of the PC is 100mbit then reduce the speed in the Mac to the same.
If you do this kind of setup you also need to set static IP in the correct range .. but you need to NOT set gateway and DNS in the PC.. in the Mac on the other hand I have found they tend to like the gateway and DNS set.. but you use the same one as the airport extreme uses.
1- Is there any latency added when computers are communicating to each other, in my case a Mac and PC, via the airport extreme ?
No, the latency on ethernet networks is tiny.. and transfer speeds on gigabit are identical .. using the router is much easier than messing about with direct cable connections.