When I upgraded I didn't lose any -- but good practice is to backup your projects first -- just in case, then you can always roll-back if necessary.
Resolve 18.1 Studio, Fusion 9 Studio CPU: i7 8700, OS: Windows 10 32GB RAM, GPU: RTX3060 I'm refugee from Sony Vegas slicing video for my YouTube channels.
I think this is good advice for any major software upgrade: backup all your data files; backup all your source files; backup your boot drive (so you can revert if necessary); backup your current projects. THEN do the update.
In the case of Resolve, I think it's also important to backup the Project Database, on the rare possibility that a session loses something in translation. In general, it does work pretty well, but I had one R14 session where a single timeline had a bunch of flakiness with Camera Settings when it was converted to R15. All the other timelines were fine.
marc wielage, csi • VP/color & workflow • chroma | hollywood