I did do my installs with the winXP compatibility mode on. I don't know of any functionality lost, though I never use cs2 at this point. Just the old v10 and CS5.
The extremely odd thing is that there are some types of memory intensive functions that work better/more stable in v10 and fall flat in CS5. Mainly it's when rasterizing vector data, either right in the file or when exporting to JPG/TIFF. I have a wide open hard drive and 8GB ram, and yet CS5 seems to choke very easily. Oh well, so far I get by...