It's possible that this is another of the evils of auto-sell, but i've experienced it too. Not just from dead soldiers, either. Any item on the ground when the mission completes is lost. I once had my 'Rocket Man' confront a Bug Eyed Monster [the last for the mission] at point blank range. Of course he dropped his Rocket Launcher and took out the BEM using his SMG. When the dropship got back to the base, he didn't have his Launcher any more... I think it is the case that alien swag is not left on the battlefield, but specifically given to you by the code as a form of 'treasure'. However, stuff that you drop is not added back but merely disappears.