Yes, you can lose your generals/leaders. They can die in battles or they can be assassinated. However, the chances are small that this could happen. But you will never know..
EDIT: Btw, there are some historical characters(Wallenstein for example) you can't recruit in normal fashion. They appear in certain times and you can either accept them or not. Also, some characters have special traits that will affect them in battles one way or the other.
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