Hi Vanraj,
There is no problem for exiting Canada and returning to your home country (or to any other place of interest) after landing. You should keep the copy of every member's COPR safely with you, as it is the only valuable proof you have as landed immigrant. There is no problem for applying for the travel document from your home country. You can download forms and apply to the CHC. If your prefer, your friend could send the PR cards with a reputed courier like DHL, FedEx or UPS and that would be easier for you to avoid the formalities of applying PRTDs. Consider what you feel appropriate.

Even getting a travel doc is not hassel. u just need to have landing papewrs, passports and may one or two other docs. pl refer to cic website for exact details. However it is not an issue