What do I lose when aborting from the Plains of Eidolon?

You lose your pickups and bonus XP when you abort a mission.

If you're annoyed by the long journey back to extraction, use the archwing launcher or a warframe that can travel quickly, like Nova (see Worm Hole for example). There are builds for fast travel in the plains of Eidolon.

If you're stuck because you're in a squad where no one wants to extract, you can leave the squad to be put in your own instance, and then leave using the extraction at any time.