Although the answer to your JKE questions should be answered (at least indirectly) in the JKE readme file or in the JKE project forum
on the Hub, I will answer it here because you have actually written intelligently instead of coming across like an untrained 12-year-old (as most others do).
You only need to install the JK Unofficial Patch (JKUP) that was included with JKE or the latest JKUP
. Please follow the JKUP instructions in the included txt file; many have messed up JK by not following the instructions first. (Don't worry; you can easily fix a messed up installation of JKUP by just copying the original jk.exe from a backup.)
Yes, saved games will work correctly in JKE. JKE is only a visual upgrade, so it does not affect anything like saved games or gameplay.
I don't know about converting smk files, but there is probably a YouTube video of all the live JK cutscenes spliced together. Also, you can use The RAD Video Tools
to view the smk files.
By the way, the second CD for JK has many of the same files on it for the explicit reason of allowing a second PC to play multiplayer; this is mentioned somewhere in the JK manual.
It is good to know that you got JK to work.