You definately lose signal when you use a splitter, however the splitter also splits the noise, so it may have little effect on the S/N ratio, so often you don't notice the difference. The IF signals we get from LNBs are not "weak signal", so you can afford to lose signal. For receiving this stuff, signal to noise ratio is usually more important than signal level itself.
For the same reason, while it's best to use a splitter that is rated up to 2 GHz, it's really not necessary. I used 1 GHz UHF TV splitters for many years. You could see the drop-off at the high end of the band, but it seldom affected the ability to lock transponders. The only thing about using cheap splitters is that when using splitters, you really should use DC blocks on all but one receiver. The sat splitters that are rated to 2 GHz generally have a power pass port with the other ports blocked, which is convenient, since the DC blocks are getting harder to find since RS stopped selling them.