You don't loose data. The scheduling (start, end, duration…) of the activities show the same between the apps.
If the activity was planned in Merlin Project to start on a specific date, end on a specific date and have work or duration of a specific amount of days, the same information will come up in the file in MS Project.
Consider following metaphor: there are two cars; one fuelling diesel, the other is electric.
As cars of the same size they both have 4 wheels,
can transport the same amount of persons,
might be both able to drive the same distance,
even at the same velocity
but they use different fuels, one has maybe options for cruise control, and the other may be self driven.
The activity in question was planned in Merlin Project by Precise Start, Precise End and Work.
When exported as XML MS Project file, the activity shows in Project with the same start and finish dates as in Merlin Project.
Also the work amount gets transferred in MS Project as expected.
To avoid such export warnings you can plan by work, dependencies and if a specific date is binding, by only one date.