I've been playing on a Yamaha Pacifica for sometime now and I've always used .010 - .046 strings with a wound third string. Some weeks ago I put on a new set of D'Addario .009 - .042 with a plain 3rd string.

I have noticed that now, when I play the 3rd string open, it doesn't sound right as if it is accompanied by a click and/or some fret-buzz. The 4th string does so too, but to a much much lesser extent.

What are your ideas? Should I go back to heavier guage strings? adjust the guitar? Is there a problem with the nut?

Try slackening off the truss rod a 1/4 turn. A change of string tension of just one gauge does not usually need a neck relief adjustment but sometimes it is necessary.
You might just hate how an unwound G sounds. I can't stand going playing unwound G's after I switched.
I'd say if you're not very technically inclined (ehem like me), or if that guitar is the only one you have, switch back to the heavier gauge strings. If you've never touched the truss rod before, or don't have the right tools, or don't do the proper research, you could damage your guitar, and if that is the only guitar you have, I wouldn't risk doing any adjustments by yourself. BUT if you really like your new strings, do some heavy research, maybe talk to someone who's done it before, buy the right equipment, and attempt to mess with your guitar...... which I'm too chicken to do, so do it at your own risk. Or bring it to your local guitar shop.