They might have worded it strangely, or were trying to say that your data will not be saved on the new system, but I transferred in the early days and I kept all of my stuff. You're not the first person to have lost their data in a transfer though, I wonder why that is. Could be a mistake in the steps taken when switching SD cards during the transfer or just a plain error on the 3DS' side, I don't know.
I remember I once accidentally brushed the wireless switch on my 3DS while doing a transfer, turning it off, and I freaked out so badly. Thank god, the only data that was corrupted was some of the mii data on the "target" system that was going to be erased anyway. All my original data was still miraculously intact on the "source" system, and the only consequence was starting the transfer over.
Did the target system have any of the transferred stuff? Infinite copying of games imminent
Nope. I think it might have prompted me to "delete corrupt data" on boot, but I really don't remember...
