I've never retreated a general either, however I was under the impression that the General has a proximity morale boost effect so once he's gone he won't be applying that to anyone.

If your general dies, then I think you lose any valour bonus he gives to all your troops. I suppose you could check this by counting the little flags on the units (each little flag that a unit carries on the battle field represents their total valour) before and after the general dies. Remember that each point of valour loss will also lose you two points of morale.

I've noticed the enemy often retreats a general at the start of a battle and they don't seem to lose the valour bonus he gives, so I guess the same rules would apply to you.

The main reason for me never to retreat a general is that I don't want any of those good runner/coward type vices.