1-) It is possible to upgrade it direct from 9.6.1 to 10.2.1 or how many upgrade-steps? What is the upgrade path (9.6.1 => 10.2.0 => 10.2.1)?
No , TDM 10.2.1 can be upgraded only from the 10.2.0 version. Refer the following KB for the step involved on upgrade from 9.6.1 to 10.2 version : https://kb.informatica.com/howto/6/Pages/23/594243.aspx
Steps for upgrading to 10.2.1 from 10.2.0 version : https://docs.informatica.com/data-security-group/test-data-management/10-2-1/_upgrade-guide_test-data-management_10-2-1_ditamap/before_you_upgrade_tdm.html
2-) Has anyone her gone through this same upgrade path on a single target host? If yes can you please share your experience?
3-) Do we have some difference between 10.2 R1 and 10.2.1 ?
The Release guide will have the detailed information on the enhancements done : https://docs.informatica.com/data-security-group/test-data-management/10-2-1/_release-guide_test-data-management_10-2-1_ditamap/test_data_management_1021/new_features_and_enhancements_1021.html
There Release notes will have the limitations and issues fixed :