1. Most of the time I lose the paragraph numbering when opening an rtf.
Possible bad formatting of the source.
2. ... the formatting of the previous TU is automatically applied to the next unit.
Forget it. Don't pay attention to the formatting of the tagged doc. The correct final formatting will be applied from the tags when you save the target.
3. Do I need to prepare the .rtf files somehow prior to opening them in Tageditor?
Better formatting — less headache.
4. Is there an option to ingore all styles and formatting when translating and reapply these when saving the target files?
It is done automatically when you save the target.
Just start working and remember about F1.