Of so divine a Loss -> This has religious references – the “divine Loss” is a reference to the time when (according to the biblical myth) Adam and Eve were expelled from Paradise, i.e. the Garden of Eden.
We enter but the Gain, -> We then only gain (come into possession of) the world that God has given us – the one that we experience now - which is inferior to Paradise and seen as a place of suffering, sin, etc.
Indemnity -> as repayment to God for Adam and Eve’s sin
for Loneliness -> in exchange for the loneliness of Paradise – there were only two people in Paradise (as opposed to a world full of people.).
That such a Bliss has been -> That = Paradise -> that had been so blissful.