If I created a style in 1.4.1 and exported it, and then import it as a new style in 1.4.2 (clean installation), what would that mean for the "changed templates" listed here? Do I get a chance to merge / apply changes?
If you haven't changed any of those changed templates: nothing.
If you have changed any of those templates then they will be marked as "outdated". You will then have to either revert the changes you made and re-apply them to the new version of the template, or use the template merge system which may allow your changes and the new version changes to be merged automatically.