Nikon hasn't commented on compressed lossless in about 5 years. At that time they said the compression was virtually lossless. I haven't run tests on the D4 or the D800 to see if things have changed. It is certainly possible that the algorithm has changed, which Nikon uses for "lossless" compression.
Nikon has always said the algorithm is "reversible." The say "no effect on image quality." That, to me, is an interesting choice of words. If it was 100% lossless, I think they would have described it differently.
In the past, when I compared the curves on the same shot, lossless compressed vs. uncompressed nef, the curves were different, in the highlight area, but the same in the shadow area.
Nevertheless, I wouldn't worry about it for the typical shooting. You just can't see the difference with your eyes. Perhaps I'll do some D4 tests when my work load slacks off, but right now I don't have the time.