Is it possible to change the monster pursuit sound for different monsters?
Yes, I would recommend creating a new copy of the entire entity (on your desktop in a folder) - you'll need the dae, msh, ent, spec/nrm/regular dds files. Easy-peasy from there: open up the .ent file with notepad++ and scroll down to where the long list of files is (things like health, sight, hearing, search time, chase music, that stuff) and edit the ones you want changed.
It is important to rename your monster so you don't overwrite anything. I believe only the .ent file will need renaming (unless you plan on doing some retexturing as well). Move your folder back in to the entities\enemies folder and test it out. You'll need to restart amnesia if you want to see any changes you make after launching.
Can you create animated light templates? (there's a scene where a person talks to you, but you can only see their shadow in front of you as you are strapped to a chair.)
It's very possible to create moving shadows/lights. You'd need to animate it frame-by-frame (so like a drawn animation) and save each frame as a .dds file (to put under textures I think). Make sure they're all named "your_animation_name"_(number in the animation sequence starting with 1 and increasing). Set them as the gobo for a spotlight, set the animation style to "loop" and put the frame-rate at about 0.06. You can turn the light on in-game using a script in the hps file, then turn it back off when the animation's done. Black makes shadows, white makes light on the dds files.
Is it possible to have multiple types of lanterns in one story/conversion?
I don't think so since I've never seen it done, but I've never tried it myself, so it may be possible. You can only change the lantern in FCs though.