The description for Exploding in the rules set (which is not in front of me atm) says to the effect that neither the exploding critter nor any of the other critters can be saved. I don't think it refers to loot; we'd been playing that the loot still drops. Exploding can be a good way to deny someone a ton of xp later in the game.

In fact, I think we had a case last time where we were playing a standard game with the expansion cards and some of the variant rules where someone played an exploding AND charging monster in Xykon's room. We decided that meant no one got the bragging rights for Xykon. (wish I could remember what monster that was)