On the one hand it's nice for personal continuity to have your characters go straight over, but then if, for example, you didn't dual spec Imoen as a mage, it'd mess up the SoA storyline a fair bit... At least the beginning, anyway...

It kept her stats for me (my first try but using BGT). Which is nice as I'd dualled her later and got her up to 100% in find traps and pick-locks.
I did dual her into a mage though so I'm not sure what would happen if you didn't - I think it stays the same as you left her - would just make the plot a bit non-sensical re: cowled wizards.