See the article Upgrading From Previous versions
1. yes the database schema does get modified but there should be no data lost, it does not delete data. Only thin is we no longer support mssql 2000 so make sure your database is sql 2005 with all service paks or a higher version..
2. Yes you should change to CKeditor, FCKeditor is legacy and no longer included with mojoPortal
3. Your old version did not support Azure, a fresh new install does support it but I'm not so sure about migrating an older database that was upgraded to sql Azure. It should probably work but I would not do any migration at the same time as upgrading. I would upgrade first in traditional hosting, make usre everything is working well, then do a trial deployment to Azure and test again.
4. As long as custom <appSettings are stored in user.config instead of Web.config you will not lose them because user.config is not touched during upgrade. You must use the new web.config file and transfer any customization such as machine key from the old one to the new one.
5. Again, if you follow the recommended way and put those setting sin user.config you don't have to worry about them during upgrades.
Hope that helps,