1) When you first develop SA (Sleep Apnea), your brain gradually gets used to being strangled in your sleep, but eventually you have to sleep, so the brain finally "gives up" to some extent and lets you sleep through being strangled by SA.
It's a bit like living next to the busy train tracks in the city and learning to sleep through the noise. If you spend a few months living in the country where it's quiet and then move back, you might find that you have a hard time sleeping when you get back to the city .
2) Your body does also make some mechanical/chemical adjustments to get used to being strangled by SA. If you eliminate the SA, these adjustments may go away and you'll feel the effects of SA more than you did before you started CPAP. There have been some studies that suggest that untreated apneacs develop some additional blood vessels in their heart. There are probably some other adaptations as well.
If you stop CPAP, you'll probably suffer from SA more than you did before CPAP, but presumably, you'll eventually readjust somewhat to SA and be no worse than you would have been without CPAP. However, since SA tends to get worse as you age, you may have SA worse than before, not because of CPAP, but because you're older.
Useful links.
Click here for information on the main alternative to CPAP.
If it's midnight and a DME tells you it's dark outside, go and check it yourself.