Yes, this is supported at the moment. In my experience, not all 3D applications that import USD files will successfully load the sky, but the HDRI itself is exported so it can be manually set up if your app doesn't import the sky data correctly.
To op's situation, i open up m3 and m4 and redo the scene copying the numbers and settings when i run into this issue, yea an export situation would be less time consuming but this is the solution for me and possibly others if no one thought about it, there it is. (export what you can, though)
This is not currently possible. However, we do want to add scene merging at some point. If you're trying to create a lighting template for new scenes, what you can do is set up a blank scene (no meshes or materials), with your lighting, and go to Edit - Templates -> Set Template Scene. These will use the scene setup you've…