So far, every rake I've had in a city that fell was killed in the fight. However, I did get the message after the battle. Twice it was my infiltrator who died when I captured the city, once I had infiltrated a neutral city that was attacked by and fell to a third party in the following turn. In all three cases I lost my agent.

Now, I haven't yet had a KGB agent (Gentleman stealing tech) in a school that got raided, so I don't know what happens there.