Yes, you do lose *some* signal with the adapters. No, it almost certainly isn't going to be enough to notice, especially in a mobile environment. I'm all in favor of minimizing loss but if a setup like that satisfies a particular need, then I'd do it myself.
I actually did some very non-scientific testing on a variety of connectors yesterday. Had an antenna in the attic that surprisingly gave me a very strong signal on the local 860MHz trunking system. It was a UHF collinear mag-mount that I was using for my "local PD" scanner. Just for grins, since the new scanner has an S-meter and tells me the %quality of the trunking data channel, I started playing with connectors and coax.
The only thing that really made a difference was using a longer piece of unknown coax (I don't know its specs, it's mil-surplus, and I am pretty sure it isn't 50 ohm). I still had the same signal strength and quality even after I used a UHF "tee" connector, fed one side of the tee to the other scanner, and ran another piece of RG-8x off the tee to a SO-239 to BNC adapter on the trunking scanner.
The only thing I might do differently to what you did, is get a smaller / lighter intermediate connection. Go BNC-SMA-BNC, maybe. Perhaps a little less stress on the radio's BNC connector, and it's constant-impedance to boot. (PL-259/SO-239 connectors are not constant impedance, which especially hurts at higher frequencies.)