How does data get "imported" into ML's new features?
Notes will import from the Notes folder in Mail. They no longer appear in Mail, but are still an IMAP folder.
Reminders will import from the task calendars in iCal. They no longer appear in Calendar, but are still ical files.
Messages pretty much is iChat, with a different UI and an extra protocol (i.e., iMessage, which is really just XMPP). You can still save logs. You can still read your iChat logs. If you have iChat set to load old conversations when a window opens, the iChat conversations will appear in Messages when you open it the first time.
For Gatekeeper, most apps are signed already so you won't have to worry about it.