the turbo is usually spooled up by exhaust fumes, so your engine will need to be at a highish RPM before the turbo will start to kick in, hence turbo lag. There are many MANY variations and settings you can change to make this worse, better, more responsive, more powerful , etc. But that is teh very basic gist of it.
So when you let off the accelerator, there will be less exhaust fumes, which in turn slows the turbo down, it then takes some time to get back up to full speed, this is effectively the turbo lag. Also the blow off valve will release any excess pressure to avoid damage to the engine. So when you let off the accelerator, 80%+ of the turbo pressure is released.
Back to your original question, if you don't let off while changing gear, you keep the boost pressure running, so no loss of power engine wise, but your wheels will probably spin up a little bit, this would be very noticable in 2nd and maybe 3rd gear, but not so bad in 4th/5th gear (or higher).
Theres loads of things to check out that LFS doesn't have that change turbo's alot, such as anti-lag, and BR limiters, I've probably not explained things here the best I can, but i'm at work and its early in the morning