The Captains Lost counter has no negative effect on gameplay. Consider it the most rudimentary form of a roguelike scoreboard. Plus, you get to read the lovely sentence attached to each level of it.
The "changes" referred to you would not have picked up on, given your actions. Normally, when you die, the tiles of the map slightly reshuffle, within certain defined zones. For instance, Frostfound, the Avid Horizon, Palmerston's Reach, and the Ragged Crow will shuffle each time you lose a captain. (The western and southern coasts, as well as Irem, are fixed and will never change.)
However, if you choose the Correspondent legacy (as you have), your chart is passed on, which allows to use the same map layout as the previous captain but prevents you from gaining fragments for (re)discovering anything on it. Because of this, the Correspondent legacy is generally considered very weak unless you have acquired a high Pages score -- and even then, it will cost you a great deal of potential points in other attributes, as uncovering a single tile of the map is generally worth at least a whole Secret, if not multiple.
Personally, I recommend trying to acquire a good deck weapon (like the Hellthrasher) or promoted officer (such as pursuing the quests for Maybe's Daughter or the Haunted Doctor) and inheriting those for your first few captains, until you have a better feel for how the game plays and some idea of how you want to play.