Transferring means all data will be moved to the new system, and erased from the old one. So no, you cannot keep your downloaded games on both systems, ambassador or otherwise. You can, however, buy them again on the old system after transferring data, but you will need to pay for it again as well.
You can only transfer once a week, and any system is only allowed to participate in a transfer up to five times. So you cannot keep transferring back and forth at will, it's intended as a one-time thing.
If you have already downloaded software on the new system, that'll be overwritten. You can re-download it afterwards, however. The SD card in the new system will be erased in the process, the SD card from the old system will, after the transfer, only work in the new system. All data on that card will now be linked to the new system.
This also means that, in order to actually use the 4 GB card that comes with the XL, you'll need to transfer your data, and then manually copy the data to the larger card using a PC anyway. Since the data is linked to the serial number of the new unit, copying SD cards also does not allow you to keep your games on the old unit.
Save games for card-based games are not stored on the unit, but on the card itself. No issue transferring save data there.
TL;DR, Your SD card and it's contents have a serial number of the system they are used on. You can transfer them every time you want to use a new system. From my understanding, what you want to do is not as easy as popping in the SD card.
