There is an Order of the Flaming Rose and an Ice Plains save, both from the same play through.

Does it matter which one I import? Are there any real late game changes that would change what happens in 2?

You start 2 with cool equipment if you import and some choices you make come in, such as what happens to siegfried. You find better stuff almost immediately, which is silly, but you know... Videogames

I believe you use the order of the flaming rose save, thats the one where you get dropped in that room at the very end of the game and then walk through the exit to end the game.

Should be the Order of the Flaming Rose one. Check the date modified of the file should let you know which is the most recent save.