No data is to be lost.
The failover operation is performed in the following way:
1. Veeam Backup & Replication rolls back the VM replica to the required restore point. To do this, it reverts the VM replica to the necessary snapshot in the replica chain.
2. Veeam Backup & Replication powers on the VM replica. The state of the VM replica is changed from Normal to Failover. If you perform failover for testing or DR simulation purposes, and the original VM still exists and is running, the original VM remains powered on.
3. Veeam Backup & Replication temporarily puts replication activities for the original VM on hold (until the VM replica is returned to the Normal state).
4. All changes made to the VM replica while it is running in the Failover state are written to the delta file of the snapshot, or restore point, to which you have selected to roll back.
Here is full explanation