It is definitely a crappy way for you to lose, but lose you will if that's the case. The problem lies in the way they calculate Holds and Blown Saves. If a pitcher comes in with the lead, and when he walks off the mound his team still has the lead, he gets the Hold. And if a guy is on the mound when the tying run scores, he gets a Blown Save, whether the run is charged to him or not.
For instance, say you have a guy come in, his team up one run, and he gets the last out of the seventh inning. Then in the 8th, still up by one run, he gives up a couple hits and a walk and loads the bases. They bring in a new pitcher, he gets a fly ball (Sac Fly, scores the run) and a DP ball and he's out of the inning. It would be an outstanding performance for him in that situation, but the other guy would get a hold and he would get a Blown Save for his efforts. It's pretty much a joke, but there's not much you can do about it.