Unless you've changed XNView' hotkeys Shift+R is not Lossless rotation.
Lossless rotation is Control+Shift+R/L and if you want to avoid XNView trimming unnecessary pixels from the edges then you need to use the menu Tools->JPEG Lossless Transformations->Dialog and deselect that option as shown in my image above.
What you're doing is using normal rotation and then when you save it, it is recompressing the image using whatever options are set for JPEG compression, which looks to be close to 100%.
Lossless JPEG Rotation acts on the original image immediately, there is no need to save it afterwards.