If your modifications are only to the virtual templates and virtual CSS files, then those modifications will not be lost because they are stored as database entries. As a safety precaution (and this is something you should do on a regular basis, anyway, like whenever your site is at a point that you can “baseline”), you should save your settings by going to Appearance > Montezuma Options > Export Import and saving the contents of the Current Montezuma Settings field to a text file (I’ll save my settings to a file called 140407 – Montezuma Options.txt, for example). I will say that I didn’t have any problems with the most recent upgrade from 1.1.9 to 1.2.2.
If, however, you made actual changes to the theme files by using Appearance > Editor, then those changes will be lost. Editing the theme files (for all themes, not just Montezuma) is highly discouraged as a general rule; if you have to edit the theme files, then the creation of a child theme is highly recommended.
