Is information lost when you downconvert an RF frequency?
Practically, information is not lost in a properly designed down-conversion process, but that's because the RF signal is rarely used in the way you suggest (and when it is, you wouldn't down-convert it).

Take the process you described : adding information to a 400MHz carrier - this process is called modulation. Simply turning the carrier on or off for an entire cycle is the same as switching its amplitude to 0% or 100% in "off" or "on" cycles; and this is a scheme called "amplitude modulation". 

Now, over-simplifying, this means the signal is no longer just a 400MHz carrier; the carrier alone carries no information. It has a bandwidth ranging from (carrier - max modulation frequency) aka "lower sideband" to (carrier + max modulation frequency) aka "upper sideband" and if you are transmitting 400Mbits across it, that means 0 to 800MHz, or 800MHz bandwidth. And any other signals between 0 and 800MHz will interfere with your transmission.

(There are communication systems called "spread spectrum" that actually work like this, but we'll ignore them. With due care, you can also transmit N bits as on-off signals in N/2 bandwidth, and use more levels to reduce bandwidth further, but let's concentrate on the basic point : information needs bandwidth).

If you did downconvert it, the lower sideband would run from -399 to 1 MHz, the upper from 1 to 401MHz. The "negative frequency" part is also called "spectral folding" and results in a signal up to 399MHz which, being superimposed on the upper sideband is very difficult to decode; information is not actually lost, but probably corrupted beyond repair.

More usually, you would transmit a lower rate over this carrier : say 0.5 million bits/second, on a 400MHz carrier, in 1MHz bandwidth (399.5 to 400.5 MHz).

And in this case when you down-convert to 1 MHz, you will have a signal between 0.5MHz and 1.5 MHz (roughly, the AM band!) with no lost information.