Save values from Commerce Profile to User Profile with Rules?
In order of asking:


Data


'Add a Variable' saves data to the {variables} table in the database, to be used with the standard variable_get() method.
'Add an Item to a List' will let you pick an entity and list-type field in the next step to initialise/add another item to (this might include a field with multiple values allowed, say).
'Set a Data Value' will let you set the value for a single, arbitrary field/property (usually as part of an entity). It's different from 'Add a Variable' in that it set the data value on the entity, and doesn't add it to the {variables} table.

Entity (profiles provided by the core profile module are not entities, if you're using the Profile2 module, then they are).


If you're using Profile2, yes.
If you're using Profile2, you'll be able to use it to save the entity after you've used the 'Set a Data Value' to set the value.



Looking through the profile.module and user.rules.inc files I can't see any built in support for the profile module; it stores its data in custom tables and I can't find any glue code that would suggest support's been added for rules (it's worth double checking this though, I could easily be wrong).

If it's not too late on in the build it might be worth having a look at Profile2; as each profile is an entity you'll get rules support built in automatically.

The other thing you could do is write the profile rules functionality yourself (implementing hook_rules_action_info() etc.) but that would be quite a bit more complicated.