I would transport everything possible for consistency sake. Remember, this was one reason why GRC 10.0 was bought back to the ABAP platform and it is worth pointing out that GRC systems are audit-able, so changes do need to be tracked for compliance purposes (remember the acronym GRC)!
There are certain settings I would avoid transporting, which are the actual system connector related settings etc. This is why it is important to have connectors aligned to a "Logical Group" (which is the same name across all your various GRC landscapes) and your subsequent connector dependant settings (such as the rule set) aligned to the "Logical Group", so once it is transported to the next landscape, you should not have any issues.
I would be very cautious about "uploading/downloading" BRF+ rules. I have seen this mess up once as for some reasons the actual condition columns were not working in a QAS system as it did in the DEV system. I strongly advise that the MSMP workflow settings and custom BRF+ rules are transported properly across the landscapes.
All the best