1. Can the label (comment) assigned to an address be changed after creating it?
2. Does the Armory client require the entire blockchain downloaded to function? Could I move the blockchain files from the default download directory to somewhere else?
3. Is there any safety concern when importing my private keys of my personally generated addresses from other wallet software into Armory?
1)Yes.
2)If you're in online mode, then yes, it basically does, at least if you want to do anything constructive. If you're running Armory in offline mode (i.e., for cold storage purposes and such), then no, you don't need the blockchain. You can move the blockchain files elsewhere if necessary. See #4 under "
What you need to know about Bitcoin Core" for more info.
3)Depends on how paranoid you are and what exactly you mean by safety concerns.