The conversion is straightforward and the what is lost question is the important one, because EPUB and PDF are fundamentally different kinds of document and the difference shapes the result:

The tool, free and excellent: Calibre, the open source ebook manager, converts EPUB to PDF as core functionality. Add the book to its library, choose Convert books, select PDF as the output and it handles the rest, with an output options panel for page size, margins and fonts worth setting for your target, whether that is printing on paper or a specific device's screen. Calibre is the standard answer, handling the structure, images and formatting of proper EPUBs well.

The fundamental difference that shapes the result: EPUB is reflowable, text that adapts to any screen size, while PDF is fixed layout, a specific page. Converting reflowable to fixed means choosing a page size and letting the text flow onto those pages, which works well but is a decision the conversion makes rather than a property the book had. Setting the page size and margins to match your actual target, the paper or the device screen, is what makes the output look right rather than awkwardly paginated.

What is genuinely lost or changed: EPUB interactivity and any adaptive features fix into a static layout, some complex EPUB styling may simplify and a book heavy with reflowable design converts less gracefully than a straightforward text book. For most reading books the loss is minimal and the PDF reads fine, while a highly designed EPUB, a technical book with intricate layout, deserves a test conversion and a look before committing to the format change.

The device angle specifically: if the goal is reading on a device that lacks EPUB support, check whether a free EPUB reading app exists for it first, since keeping the EPUB preserves the reflowable advantage the conversion to PDF surrenders, PDF on a small screen often reading worse than reflowable EPUB. Convert when PDF is genuinely required, print or a truly EPUB incapable device, rather than by default.