What if it's a fully developed castle? You step away for a bit to capture another one, leaving this one behind, but with a weaker hero. You don't make it back in time (a couple of turns, for example, you're late)... It's a shame. That's why you reload.
Are you asking "do you use autosave?" or "how do you feel about losing?"
My answer:
In offline mode, of course, I use autosave...
But in online mode, that's not possible...
And so far, I haven't needed it anyway.