What do lossy and lossless mean in this context?

Lossy = I don't need all the data. I can look away for most of a baseball game and still enjoy it. But if it's some intense drama like Game of Thrones then I need to see it all. You miss a scene and you're confused for episodes to come.

If you only pay attention for 10% of the content, GoT is much lossier than baseball. Sparse vs dense would be more sensible terminology.

Regardless of terminology, I'm trying to communicate the idea that some media demands your full attention while others don't.

Maybe a better example is a podcast vs. music. You don't really need to absorb, consciously, every note and lyric of a song. But a podcast demands your attention.

No, it depends on what content you're looking for. There are certain series where if I only care about the plot, I can find a synopsis on a wiki somewhere, or just listen to the show in the background. But if I want to get the full visual experience in the acting, cinematography, and production, I need to watch in order to be emotionally engaged.