As is often the case, MSDN is wrong (see here: http://xboxforums.create.msdn.com/forums/p/27316/150367.aspx#150367). It's pretty easy to verify this yourself by adding a DeviceReset handler, and putting a bp on it and on your game's LoadContent.
XNA will recreate most graphics resources automatically. The only resources that "lose" their data on a device reset are render targets, DynamicVertexBuffers, DynamicIndexBuffers and maybe I few more I can't remember.
Interesting ... I'll take the word on it, but if i remember correctly a game i made a while ago used to have problem that every time the game was Minimized all the content would reload and score rest etc. (this was in XNA 3.0) and i got around this by moving all Data stuff (scores etc. out of the LoadContent method. )