If I download the latest CIS setup file and run it on my Windows 7 computer, would that preserve all (firewall) settings or could there be any issues or reset settings? The Windows 7 computer is running 5.10.something (firewall only), and I would likely go for the latest 8.2 version (with both firewall and antivirus).
you will probably lose the current settings as you are making a major upgrade to a completely new version.
Is it ok to export settings into a .cfgx file in 5.10, and then import it in 8.2? Or are there any “legacy” entries which could possibly “break” something?
Highly likely 
I upgrade from V5.12 to V6 but they did have a special tool at that time, then from V6 to V7, but on trying to upgrade to V8 I ended up with a empty file list.
So gave up did a fresh install and did all my rules again, running in Defense+ in Paranoid Mode with limited Trusted Vendors required quite some time.
The alternative was to use a partially broken CIS which may/would cause problems even if it was working correctly.
Dennis