Since the 1940 has volatile RAM, it is normal for it to lose all data if the battery goes completely dead. Most people charge the battery at least once every few days (many people charge it every day) to keep this from happening. It is actually "unhealthy" to a lithium-ion battery to fully discharge it anyway.
Most newer PDAs have nonvolatile memory, which can be slower but is not subject to data loss due to power loss.
If you want to continue using the iPaq 1940, I suggest you charge and sync it semi-regularly, and consider buying a program that can backup the full contents of its memory to an SD card. I use Spb Backup with my 1940. SD cards are nonvolatile.