Should I be concerned about a complex breast cyst?

I would. Make sure to follow up as directed. Cysts of the breast are usually not classified like cysts of the ovaries, simple or complex. Nevertheless, if the docs were suspicous they would order a biopsy or at least additional testing with close follow up. Make sure you follow the recommendations and get clarification from your doc on that report and it's meaning.
Possibly. But follow the advice of your radiologist and gynecologist. Depending on the specifics they may recommend additional or more frequent testing, aspiration, needle biopsy, or excisional biopsy.