You only lose your Link % with all Pokemon, your gold, and then your Warlords and Warriors recruited will be set to a specific configuration at the beginning of each story. Development in the Kingdoms resets I believe.
You keep all Pokemon linked with and/or evolved, items, and Warlord transformations.
So you will have re-recruit your Warlords and Warriors if you don't start with them, and when you encounter them they will likely have something they didn't have before, but when you recruit them back, they will be as you left them, except with the Link % reset.
What the hell is a Firioniel? Is that the cable that fits an iFrion? - ponosmcgee on Dissidia Final Fantasy