I don't know if you'll lose the work done, but the problems with my tracks that I didn't render before closing a project, were enough of a headache to get me to take notes, so I could go back and finish Melodyne-ing them later from the bar I'd stopped at.
I stopped doing it a while ago and actually don't recall what all went wrong, but I was so relieved at the solution, that I immediately "got in the new habit". I think my clips disappeared completely, if I didn't render them, leaving gaps in my tracks! Not good at all!
Even before "learning my lesson", I would only work on a phrase at time and split the track that way. I think I was bouncing all the Melodyne clips into a "whole", thinking that would "render them". LOL Looking back I see that my method (then), was more like bouncing them into a HOLE! LOL A black hole, they never came back out of!
So, I don't technically know what happens or doesn't, but that I haven't had any problems since I started rendering each clip as I finish it. There's no reason you can't go back, create another Region Effects and start again, either!
Make a copy of your track first and work on that if you want to be safe(r).
Michael