1. Are there any know reasons not to mix the 2 technologies? Any particular gotchas we should look for?
Wouldn't make any difference. Unless you are using Sup7, don't bother going to 10Gb because Sup6 and lower can't really push that much.
2. I assume we will need to purchase a Dell SFP+ for the Dell Switch and a Cisco SFP+ in the 4506. Will there be any support issues if we use the Dell SFP? Additionally will Cisco even support us if we have a Dell SFP at one end of the link and not a Cisco?
You can't use any 3rd party SFP/SFP+ on a Cisco switch. It'll go into error-disable.