If we're talking about Malagar or the other associates encountered in the various lairs, it seems that if you hand over girls captured by the Dragon throughout the story, you never see them again, and they're essentially lost for good. The power fantasy mode doesn't change that.
It's a real shame, especially in Malagar's case, since I'd have liked to keep some of the girls transformed during his mad magician/scientist experiments.
Some of these transformations are actually quite interesting, and even pretty cool and fun (am I a bad person for liking it ?

).