No, it does not.
While 4.2 uses a different rawdata format within the buckets from older versions, it is able to read and search on buckets created under the previous versions. On upgrade, the old data is not modified, and it does not need to be modified. (It should be noted that old-format buckets that were in a hot state at the time of upgrade will be rolled to warm, however.)
Configurations (not the index data) may be modified, and may be changed in such a way that they will not longer be compatible with 4.1. (e.g., license files are moved to a different location). Thus, even though the old data is still usable under old versions, you can no downgrade by simply reinstalling the old versions. You would have to reinstall or recover from backup, then move or copy the old data to the recreated old version.
Buckets created under 4.2 are not usable with older versions of Splunk.
