1) You can sign a message using the Blockchain wallet.  I have not used Blockchain, but I know this is an option somewhere.  

So no, you don't really have to change your payout address.  But continuing the discussion...

2) Your awarded shares percentage is just a number.  If the pool has a run of good luck then your shares from the time you mined with the old address, and those shares are awarded, then they will be paid out to that address.  The shares mined on your new address will be paid out to your new address.  There is no penalty to changing addresses (save if one of the addresses gets orphaned with a small BTC amount that is less than the minimum payment threshold.... and if this happened, you could go back to mining at that address to bring it above the threshold).  You could change payout addresses on a daily basis if you wanted to.

3) This has already been addressed, but Bitcoin-Qt needs to know the private key for the address.  The private key is the "secret" that allows you to "unlock" the BTC in a given address.  You can give the public address to anybody, but you keep the private key to yourself.  Bitcoin-Qt can import private keys, but I'm not sure if you can obtain a private key to a Blockchain address.

4) You will also need to have a Namecoin wallet and generate a valid Namecoin address in order to receive Namecoins.  If you have been mining BTC without a Namecoin address added into the settings, you will not be able to recover the Namecoin mined during that time.  Don't worry about it, it's less than 1% of your earnings.  It's a nice bonus and worth taking a few minutes to set up, but not anything to lose sleep over.