Last one first: No, it's fine to generate the PDF directly. Some would say superior, but if the settings are the same it shouldn't make a difference.
If you're generating all your type and color builds/objects in Photoshop (like the whole job), then rasterizing all those elements, the file size gets correspondingly large. Especially when working from Photoshop's native .PSD format. The more type and more complex the created objects — lines, fills, etc., the more complex those files can get. It's powerful, but it consumes resources.
With InDesign, those type and object elements are rendered as vector graphics. The PDF format works very well with vector graphics and has powerful tools for compressing output files even further. With Photoshop, all it can do wrap a package around pixels to create a PDF — especially if you had to render type and graphics effects to create a pixel-source PDF file. If you use no compression, creating the Photoshop PDF can offer little filesize relief.
So it's probably going to be much bigger. Quality — and filesize — are a function of layout size, so I suspect high dot-per-inch resolution multiplied by a lot of square inches for large-format bus stop panels is a big part of it. Add to the fact that likely all the Photoshop output is likely defined as pixel content, and huge files would be the end result.
If your print house can contend with large file sizes and gives you back good results with Photoshop, I guess it would be OK. But InDesign, and Adobe's vector drawing software Adobe Illustrator, will let you create quality work with much smaller file sizes. And if well done, no deterioration in quality.
Whatever your print house calls for is the right answer. But if you're getting good results with InDesign jobs at a tenth of the file size of Photoshop, I'd be happy with that and not worry about it.
Hope this finds you well,
Randy
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