Saga

Is it me or do you not lose blessings when you get KOed in Saga's SMs?

Just tested it, you just got lucky it would seem. I lost blessings on several pieces of gear after being slapped around by demonic poets

One thing I noticed, unlike in SMs or TMs (inclusing solo SMs like Their Method), you can create a party mid-saga misison. Which is good for skill training if you want to toggle finish method. Not sure where that should go.

That doesn't have anything to do with blessing though...

Put it on trivia in The Saga: Iria page and somewhere in Shadow Mission page?

It has nothing to do with blessings but is at equal status to them, in terms of different mission types.