In text listing style - how to use? Any downsides? I'm currently considering to use a in line (in text) listing style, such as:

'Some things are quite good. (i) Thing A can do this and that, which is awesome because of this and that. (ii) Thing B can do, ... . (iv) Some people also say that this and that, therefore thing Z is great.'

I've got more important points already highlighted through bullets, therefore I don't want to use bullets again for this minor information, plus I want to logically link the single points through sentences, but still provide an easy way to pick out the key words quickly.

First question: I've seen this style in quite a few papers. Is it considered to be a "good" style, or are there any downsides to this approach? Should I not use this style? Does the reader get confused by this?

Second question: Shall the brackets and latin number be bold, only the number, or nothing?

Third question: Should I place the enumeration element right infront of the keyword, or at the beginning of the sentence containing the keyword?
Yes it is a good/acceptable style. At least in the fields where I have looked the format is standard. in fact bullets or numbered lists should be used more sparingly and I think the following is a good guideline: use bullets/itemization when there is a lot of text going into each. 'Lot' in this case is a complete sentence or more. Use the format you mention when you need a word or partial sentence for each item.
there are several ways to do this you can use 'i)' or '(i)' or (1)' or '(a)' etc. The choice may differ depending on what else you have in your paper. If you have figures that contains several panes, for example, a, b, c, d, you may decide to use Roman or regular numerals for your lists. if you have several lists you should avoid repeating the same item descriptor and, for example, use Roman numerals for one and Arabic for another.
This depends on the context. you should place them where it is appropriate to read them. this means before each part of the construction. In your example you have divided everything into separate sentences but I think you should make a construct with semicolons instead: "There are three things of importance: (1) thing A; (2) thing B; and (3) Thing C."