We embedded a lot of templates from version 3.6. If you need to modify any template, you should map the external one and you will know for sure that there are changes to a module or a control that uses these template.
Some of the templates - Forums, Search, Pages are not embedded, since these parts of the CMS are not Generic Content based. This make the upgrade process a little harder. Currently we are working on embedding all templates for version 4.0. A good option to know whether you have modified a non embedded template is adding a hidden text( that is not visible when the html is rendered for your public users) and check the template each time when you are going to upgrade it.
the Telerik team