$①解:不成立,AE^2+CE^2=2DE^2.$
$理由:连接CF,如图.$
$∵AD=CD,∠ADC=90°,$
$∴∠DAC=∠DCA=45°.$
$由旋转得DE=DF,∠EDF=90°,$
$∴∠ADE=∠CDF=90°-∠CDE.$
$∴△ADE≌△CDF(\mathrm{SAS}).$
$∴AE=CF,∠DAE=∠DCF=45°.$
$∴∠ECF=∠DCA+∠DCF=90°.$
$∴CF^2+CE^2=EF^2.$
$∴AE^2+CE^2=EF^2.$
$∵EF^2=DE^2+DF^2=2DE^2,$
$∴AE^2+CE^2=2DE^2.$
$②\frac{3\sqrt{2}}{2}.$
$求法如下:如图,连接CF,$
$作PG⊥CF于点G,则∠CGP=90°.$
$由①知∠DCF=45°,$
$∴∠GPC=∠GCP=45°.$
$∴PG=CG.$
$∴CP^2=PG^2+CG^2=2PG^2.$
$∴PG=\frac{\sqrt{2}}{2}CP.$
$∵AB=CD=4,点P在CD上,且CP=3PD,$
$∴CP=\frac{3}{4}CD=\frac{3}{4}×4=3.$
$∴PG=\frac{\sqrt{2}}{2}×3=\frac{3\sqrt 2}{2}.$
$当点F与点G重合时,PF=PG,$
$此时线段PF最短,$
$∴PF的最小值为\frac{3\sqrt{2}}{2}. $