Is there any way to incorporate a message saying that Graphene 2 is not fully backwards compatible?
Unfortunately, no. Themes do not have the same capability that plugins have that allow them to do this.
Is there a migration guide that will help me to identify what to check and change in order to migrate?
Not at the moment. Basically, if you have a child theme with heavy customisation, it’s mostly easier to start with a blank slate, and then reapply and adapt those customisations one by one.
Can I opt to stay on 1.9.4.3 for ever?
You can, but you’ll miss out on newer features and support. If you’re intent on keeping 1.9.4.3 forever, you can install plugins like Easy Update Manager to disable update check for the theme.