For the record, I'm not an OpenLP developer, just a long-time user and appreciator.
The config and all the databases are supposed to persist across upgrades. If that's not happening, there may be an issue with one or more of the databases. I have experienced various issues in the 3.x series with database corruption of some kind; not in the song database (not that I recall or am aware of, at least), but definitely in images and presentations. I've had to clear and rebuild those databases from within OpenLP.
Version 2.4.6 was really the last "super stable" version, though it had some compatibility issues. The whole 3.x series has been a largely successful and much-needed attempt to modernize the functionality and feature set of OpenLP, but any development effort of this scale inevitably gives the software a definite "beta version" flavor.