I could have sworn they did, but when I finally got around to checking, it seems that it's only -1 for RETIRED Investigators.

So...you only lose points if you wuss out, but not if you go out like a man...diced up in a gooey mess on a world with no vowels.

plus do you loss the point in trophies the devoured investigator had?

Nope; being devoured only impacts score when it occurs during final combat (when the investigator is not replaced).

Question: if an investigator is devoured during final combat, are his monster and gate trophies lost, because he is not replaced? This would impact final score as well.

I suspect that retired investigators get the -1 penalty because you are choosing to de-commission your weakened investigator, to be replaced with a better one. Being devoured is usually by accident, and can often happen when you really, really needed that investigator to hang around. Tommy Muldoon was on his way to seal a gate, when he was strangled to death by the Tendril of Nyogtha. I was sad, but luckily, the reward for having him killed made up for it. Sad way to go though.

No, they don't.

But I think they should - just to flawless victory more rewarding ;-) Don't you think?