1) All save games are inside of your directory of the game/OUTPUT and the installation dont delete it. QS0000.SAV is the name of the quicksave in single player. QSR0000.SAV is the name of quicksave in multiplayer. P0000000.SAV is the name of a normal save. But after install 1.42 maybe some saves will not work again, because some missions have been modified.
2) Almost all. In 2D maps, you must always watch your commando. If your commando die and you are not seeing the game stop of working. In some maps of commandos 3 you can see enemies across the walls, but is only an esthetic bug. In commandos 3: kill the traitor the game crash sometimes when you load game. Nothing more.
3) Yes, there are new cutscenes in some missions. Some missions are in new maps, other in old maps, some missions have a lot of surprises and events. With nice films, others are simple. Easy missions, hard missions, hell missions...
4) Just read the link, it exaplsins all: http://commandoshq.net/c2dp_dloads.php