Did some first testing, and indeed i can see a spike in Lost events. As soon as i close my eventpipe, the Queue shoots to tuning parameter MaxUpdateQueue as i stopped reading the queue, and lost events peak to the MaxUpdateQueue level (100K). Some time later the queue seems to have been removed, the queued events drops with 100K and Lost Events is stable.
Rerunning the test but removing the signups waaaay before i close my pipe seems to resolve the issue and the updates lost counter does not spike. Oddly enough the Queued updates counter still peaks at 100K for 30 odd seconds until that drops back to 0. My hunch is that this is related to the producer and consumer not being in sync all the time on what should be queued. After closing the pipe, the Consumer is almost immediately removed from the Consumers list.
So that solved my own issue. There is some improvement to be made here, at least in documentation, on what to do with the pipes on close. Preferrably the AFSDK does a graceful close if i call the close method on the pipe.