We are not aware of any issues relating to upgrading, no reports of data loss or failed upgrades. So far everyone has managed to upgrade that we know of.
After upgrade, restart grafana-server and it should work. Might be good to install 2.6, then 3.1 then 4.1 but that should not be needed but to be safe I would suggest that.
I tried once in my local instance and all the dashboards were lost. I used the grafana.db present in grafana2, but still it didnt work.
Did you inspect the grafana.db ? you cannot change this file after upgrade, grafana after the restart after the upgrade will upgrade the schema. But no dashboards are lost in the schema upgrade. That should not be possible unless the whole database is corrupted but it sounds like after the upgrade you got a new database, where everything lost? or did your user preferences still remain? Verify the location of the database in your previous install, have you specified a custom location for the database?