I have been playing on Realm of the Mad God for months in browser. I now want to switch to steam use for personal reasons. I go to steam, click account, click 'Replace this account with web account', but it says 'WARNING: All Progress will be lost from your Kongregate account when you perform this action.Think about it before you continue.' Does this mean that it will replace all progress on the steam one, or all progress on the in-browser game?
The answer to both of your questions is yes. When you import your save to Steam, it deletes anything in the Steam version that you've already done. Now keep in mind that it only imports the Kongregate version, if you were playing at the actual site you need to go to Kongregate first and import your save from the original game, then import your save from Kongregate to Steam.