If I choose Amazon S3 for data storage do I have to upload the files to Amazon before changing the storage method or the system will upload the files automaticaly?

The system will move the files to your S3 bucket that you setup.

But make a backup of all files before changing anything in the file settings. It seems not many have used the S3 support yet. I encountered several problems with it, including one move, where the images got deleted at the old location, but didn’t show up at correctly at the new one. 

Is this bug reported on 4.0.6.1 or old version?

But make a backup of all files before changing anything in the file settings. It seems not many have used the S3 support yet. I encountered several problems with it, including one move, where the images got deleted at the old location, but didn’t show up at correctly at the new one. 

​Correct. Always would recommend to make a backup when doing any type of change to your system