Is there a way to change the color profile e.g. from RGB to CMYK without merging all layers to one background layer?
At this time I've two layers one pixel filled background and a curves layer. I want to leave the curves as they are.
No, that adjustment layer has to go*. Once you have removed the adjustment layer then you can just choose the Don't Flatten option. Photoshop will complain, and righlty so, but will do what you ask.
Theres no way to convert a 3 channel curves layer to a 4 channel curves layer. Because they adjust differnet things. See CMYK is the inevrse of RGB so even the curves layer is now totally different.
* Now you can be smart about this and merge down the adjustment before conversion.