Bizzare. Today I can embed an object in a bulleted list, and it works, yesterday it didnt. Yesterday, putting an embedded object inside a table, would delete the table. Today it doesnt.
Yes, if you want to link directly to the PDF, you will need to create an override (or - gasp! - edit directly) embed.tpl and/or link.tpl. You will need to construct a link using eZ's "content/download" functionality - this post will tell you how to construct that link properly.