Heroes never die in Heroes of Might and Magic II.
A more explicit message would be welcome:
"The enemy has just captured your artifact, the Ultimate Cloak of Protection.
You move away with a tight heart.
Keep hope, the enemy will not take advantage of the artifact.
The artifact mysteriously disappeared before he took possession of it and is lost forever."
...but the text is way too long.
Let's try this one:
"The enemy has just captured your artifact, the Ultimate Cloak of Protection which has just mysteriously disappeared.
You move away with a tight heart."
...the text is still too long.
This one should be suitable:
"As your enemy reach for the Ultimate Cloak of Protection, it mysteriously disappears."
Bingo, it works.