What happens when such a device is lost (fire, electronic fault,
Assuming the HSM is stolen: The CA will likely inform the police so they can hunt the thief down, then they will ensure that the thief has actually only stolen a brick (that is, they can't do anything useful with the HSM) and finally they will just continue business as usual and maybe inform the CA/B mailing list about this incident.
Assuming the HSM is no longer available to other reasons: The CA will ensure that the key material inside the HSM is no longer retrievable and then give it into the trash.
In either case: The CA will likely acquire a new HSM (or a new set of HSMs) and restore the key material from the other HSMs they have and import it into the new HSM(s). That's the big difference between HSMs and smart cards: With smart cards you usually can't get the key out at all. With HSMs you can get encrypted copies out of the HSM that can be read and used by other HSMs of the same type, given that they have been initialized in the same way. Also decent CAs will have their root keys at at least 2 different physical locations, exactly to deal with this type of scenario.