It's awkward in English. "Not ever" is almost never said. Normally one would say "never" unless you were trying to emphasis something. That said, "They didn't ever lose." sounds perfectly natural to me.
Yes, I think that you would normally say "never lost" but once you introduce the "did" you have to put either "didn't ever" or "did not ever". The latter would mainly be used to put the emphasis on the "not" in contradiction of an assertion that they did sometimes lose.
Up-to-now I continue being confuse with the use of the Italian imperfect.
It is translated in English as: simple past, continuous past, conditional and used to. What is the rule and what is the correct way to express the ideas in English?
"to be lost" is not passive when referring to a person "not knowing the way, not being able to find his way somewhere." "The child was lost in the woods." does notmean someone lost the child the way you'd lose your keys.