You can import from SMF. But in the absence of a direct importer you need to go through another forum application like vB, IPB, or phpBB. I can do the import for you if you want.
So the answer is yes... you can save all of your forum information if you decide to go with XF.
As far as security, checkout this thread: http://xenforo.com/community/threads/how-secure-is-xenforo-compared-to-vb4.33386/.vB and phpBB provide their own importers for SMF. Once you have imported to vB or phpBB then you can use the importer that XF provides.
I have done SMF -> vB -> XF imports before. I can help with yours if you need.
REALLY!!I just completed transfer all contents from SMF to Xenforo latest version today. All working great. If you guys need my help please contact me via my email address: webmasters[@]me.com