Yes, they should all be CMYK... if all your images are now placed, then convert them all to CMYK, using a Photoshop action if you know how.
Then update them all in the Utilities palette, selecting all the modified filenames and holding down the Control key as you press the Update button, which should prevent the stupid dialogue box asking you 'if you're sure?' popping up for each image.
Time used at this end will make sure that your artwork won't need (possibly) expensive and time-consuming intervention at a prepress stage.
Also, make sure that when you create that PDF, you leave trim and bleed around the file. Images and graphic elements should overlap the edge of the page by at least 3mm... and a 15 mm slug is fairly standard (in the UK at least).