I heard paladin has something extra in this one so is it worth changing class when i import my character?

Changing it from what? If you change from fighter then there shouldn't be any loss, but if you're a wizard then you also have some class-exclusive content. Technically a thief-turned-paladin can access the content for both, but there can be some conflicts of interest in that case (especially if you continue it to QFG5).

Yes. The game has class specific content only available depending on whether or not someone is a wizard, fighter, thief, or paladin.

There is some content that is available simply by having the Magic skill, but there is also a major subplot that is only available if you have the Wizard class (and this includes the ability to gain and use certain spells, such as Summon Staff).

The thief subplot can be accessed by anyone with the appropriate skills. However, some puzzle solutions also vary with your class designation - playing with the Thief class, in particular, will result in a few things being tweaked.