Is there something I need to do on arxiv if I lose academic affiliation
According to http://arxiv.org/help/endorsement :


  Existing submitters will not require endorsement to submit papers on topics that they've been active in.


Once you've submitted successfully, you're in for life. If you change fields (e.g. from physics to biology or something) you might have to be endorsed.

As I understand it, the endorsement system is mainly to keep cranks from uploading crankery. Leaving academia or changing affiliations won't turn a serious researcher into a crank, so I can't see any reason why arXiv would want to revoke your endorsement.