2 - Adding sh404SEF will have a negative effect if your URLs are changed and you do nothing about it
3 - You can't. Joomla does not maintain a list of URL anywhere so it's not possible to import them into anything
1 - There are 2 ways:
a - As K2 has an sh404SEF-specific plugin, configure it so that it creates URLs that are as close as possible to the one it creates with Joomla. I'm pretty sure the URLs will actually be pretty much the same actually, altough I can't be 100% sure. I would ask the JoomlaWorks people about that. As for SobiPro I can't be sure.
b - For both K2 and SobiPro, you can configure sh404SEF URL creation process to be "use router.php with menu item", which is pretty much the same thing Joomla does, so with that configuration, URLs should be pretty much the same as Joomla's ones. Which of course is not as optimal as if you have an sh404SEF-specific plugin but will ensure maximum backward compatibility.