As it happens, the Abbasid Caliph is also the Arabian Empire title holder. So, to reiterate: will I be better off conquering the Abissynians, then the Arab Empire, and usurping the Arab title firstN to make Abissynia my secondary title, as opposed to forming Abissynia before claiming Arabia?
De jure levy penalties only apply to vassals. For your personal holdings, you will still get the capital county/duchy bonus based on de facto capital and not de jure. Additionally, any of your lands outside your capital duchy are 100% levy modifier, no matter where they are, so that's all strictly bonus anyway. If most of your LIEGE LEVIES are drawn from the de jure Arabian Empire (i.e. your best vassal counties are there), then you might be hurt -- assuming your current primary kingdom is de jure Arabian Empire right now.