you(‘ve) lost me implies that the listener has confused the speaker with a convoluted story to the point that they don’t know what’s what anymore.

May be "speaker has confused the listener"?

No, the speaker is the person who says “you lost me“

Ну это понятно, но спикер же has confused the listener, разве нет?!

Speaker: I didn’t quite understand what happened at the end of that movie. Why did the policeman cry?
Listener: Well, he had been engaged to the lawyer’s sister, but she got pregnant by his brother and when the lawyer found out, he called off the wedding, and she had the baby, but named him after the policeman, who was married to HER sister, and years later, when her sister died, it came out that she had had an affair with the policeman, who always loved her, but was already married to the daughter of the chief of police…
Speaker: Hold on. You lost me…
Listener: Don’t feel bad — I’ve had to watch the movie five times to understand what’s going on. It’s a nightmare.

the speaker is the person who says “you lost me“
the listener has confused the speaker with a convoluted story.

I don't understand.
How can a LISTENER confuse a speaker with a STORY?
And, IMO, examples in the dictionary contradict this.

I was with you for most of the story, but you lost me when you started talking about vampires.

Please explain it again; you've lost me.

Exactly. In both your examples, the person speaking, ergo “the speaker”, is telling someone — the listener, that they, the listener, have confused them, the speaker, profoundly. Did you get that, or have I lost you?

Yes, I did, but IMO using terms 'speaker' and 'listener' in this context wasn't a good idea and created some confusion.

Ok, the person who says “you lost me” is basically telling the person they’re addressing that the person they’re addressing has confused them to no end.

Yes, now it's perfectly clear!

I’m glad. But don’t you use говорящий and собеседник in Russian, too?

Да, используем.
Просто, мне непросто понять твой первый комментарий - и я тут не один. Мое первое впечатление - что speaker/говорящий - это тот, кто долго говорил/объяснял, а listener - это тот, кто слушал и не понял.

А вот и нет. Speaker просто говорящий и listener собеседник.