No, it is not truly lossless. Vegas will “smart-render” m2t files which means that if you didn’t apply any FX to the source on the timeline, it will copy the raw source footage to the target file “as is” with no loss of quality. If, however, you apply any FX, it will have to recompress every frame in order to process the FX and that is a lossy transfer. It should still look darn good even if it has to recompress. You would have to recompress over and over for a few generations before you would see any loss in quality.
If you want to take a snapshot, just use the snapshot button above the Vegas preview window. It will snap the quality of the preview so make sure you have it set to Best (Full) and you might also want to temporarily set your project to progressive so that the image is deinterlaced for you. Otherwise you should deinterlace it in Photoshop after the fact.
~jr
http://www.johnrofrano.com
http://www.vasst.com