This is not exactly a data loss but due to the GraphML specification. This standard describes only the structural information in diagrams, that is the definition of nodes, their connections, nested sub-parts (groups) and user-defined data, but not the visual representation of elements. Due to this, and a lack of coordination, visuals are stored very different in NodeXL and yEd.
The good thing is that NodeXL stores its visual properties in standard GraphML data fields (so -called GraphML attributes) which are read in by yEd. You can check this by selecting a node and have a look at its 'Data' properties, there should be fields like 'V-X', V-Y' and 'V-Size'. With the 'Properties Mapper' tool, you can map (some of) these data to their respective visual representation. Please have a look at the manual articles about Custom Properties
and Properties Mapper
for more information.
Note that in the NodeXL file I checked, color values are stored as decimal triples, for example '23, 182, 43', whereas yEd expects hexadecimal representations like '#2e55a1'. Therefore, mapping colors will not work.