If you run away... you'll lose your entire army... and you'll have to pay for the hero... but in any case, running away isn't the solution; there are maps where you simply can't escape...
To be fair, running away in this situation would have been the best choice; I would have lost less than 1% of my army, but the army was in transit.
In my opinion, this is another "MINUS" of the third game: you can't run away and surrender with your main hero.