Answer

When a scenario is lost and the party chooses to immediately replay it (without returning to Frosthaven), the following rules apply:

• Experience, gold, and treasure gained during the scenario are kept.

  • "Characters do not gain the resources from their loot cards, but all experience, gold, and treasure gained during the scenario is kept."
    (p. 47)

• Resources from loot cards are not gained.

  • "Characters do not gain the resources from their loot cards..."
    (p. 47)

• The Outpost Phase does not occur.

  • "The Outpost Phase does not occur."
    (p. 47)

• No road event is resolved.

  • "...they do not resolve a road event."
    (p. 47)

Summary of what is retained or lost:

• Retained:

  • All experience gained during the lost scenario
  • All gold gained during the lost scenario
  • All treasure gained during the lost scenario

• Lost:

  • All resources from loot cards (these are not gained)
  • Outpost Phase (skipped)
  • Road event (skipped)

Source: p. 47

This answer is based on the explicit rules for "Replay the Scenario" after a lost scenario.

Source: Core Rulebook (pp. 10, 3, 47, 48, 59)