Depends on the picture, but yes, sometimes you lose a little. In my experience, midtone-heavy photos lose even more contrast when converting to black and white by just using a mode change.
It's the nature of black and white . . . taking up to 400% total color and cutting it down to 100%. To combat this, either use an alternative method to find the best channel for contrast, or open up the midtones before converting to black and white, then adjust contrast after the fact to your liking. Or . . . if you like what you are getting with PSP, then don't change a thing!