You can patch directly to Hotfix 3 without stepping. Each release is a full install, so you can either start with this, or upgrade to this and you are fine.
You can install the new admx and adml. Any entries that are deprecated in the admx and adml show up as additional registry entries. So you may want to migrate those features before hand to registry entries, or edit the policy manually after you are upgraded to remove them from the xml file.
The reason I was asking about the single user version was because the hotfix says it is for Multi-Session and 2022 only. Will there be another version that supports 2019 and single-user session in the release notes? Or will the release notes be modified to include the other operating systems.