Are you sure there was any data loss at all? That warning was really a leftover from when Tidy was used. Are you sure any save was made at all? Have you checked the modification date/time on that file to be sure. Do you have the Mend on Save set in your preferences?
Wasn't there a Cancel Button on that warning dialog?
If you use Preview, it will show any well formed errors as you go. Yes you can use the well-formed check to find errors.
As for typical loss, I have seen nothing at all lost, and at worst a short piece of html code xml escaped and treated as text. Typically this is very easy to see.
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