a) it didn't seem to work in conjunction with CB Profile Pro

Untested with profile pro, we don't support anything beyond our own profile render. Profile pro has been found to cause numerous issues primarily regarding registration.

b) even just using CB, it only showed the second drop down, once the first one was saved and the page was refreshed.

This would mean you've a fatal JS error present preventing cb conditionals JS from working. Review your browser error log for further details on the error.

It never crossed my mind to use the CB Conditional plugin in this manner. It is a bit more leg work, but ... it does the trick without me needing to script it in PHP.

Glad to see CB Conditional could be of help! I'm looking into somehow in the future allowing it to show/hide multi-select options, but at this point I've no idea how I'm going to go about that. It certainly can be done with the jQuery used, but massive additions/testing needed. At any rate more is to come with later releases!

Is it possible to add multiple values in the TO Value field of the CB Conditional? Like let's say I want it to be true for more than one possibility?

Yes, you'll need to use REGEX validation in this case. Please try the below example.

/Value1|Value2/

What the above translates to is use / for the delimiter then try and match value 1 OR value 2.