It never happened to me, honestly.
I only loose data when I format the SD, but before I do, I copy the whole content to the PC in a backup folder. So no matter what, I never loose a save.
On the other side it's actually possible to loose the latest file.
In fact, the save file of the game that you are currently playing is stored on the MK3 on board memory.It should stay there for about a week according to the specification. However when you boot a different game, the menu prompts you to backup the save on the SD where it should be safe for as long as you want. Now if you fail to press A, the new game will lunch and your save file will be gone !!!
So it's up to you.
When I finish to play after a long session, just to make sure , I always backup the save right away, by booting another game. I don't trust the MK memory !!!