It's a bit more specific than that. If interrupts are enabled by an instruction, and they were previously not enabled, the processor will execute one more instruction before handling any interrupts.
So for example:
The sleep_cpu() call is guaranteed to be executed, even if interrupts are pending.
Executing a RETI instruction usually is one of the cases of enabling interrupts.
Yes, but most probably 1/3 of them will be lost.
A LOW interrupt is not queued, and thus nothing is lost. Either the interrupt condition is present (ie. the pin is low) when the interrupt is being tested for, or not.