I have never assigned any color to these images. I didn't even know that you can do that until now.
Right, you’re not using it, but it’s an important feature, and DeviceN color space distinguishes how the "color" was handled on export.
A grayscale that is not flattened in photoshop cannot be assigned a color and exports on the Black plate as DeviceN when No Color Conversion is chosen. When the grayscale is flat it can be assigned a color and if the assignment is [Black] and the export is No Color Conversion, I would get DeviceGray, while a conversion to Document CMYK would be DeviceN Black. It’s important to note in all of those cases the original Grayscale values are exporting to the Black plate unchanged—there has been no conversion of the gray values.
If I Export the flat grayscale to Document CMYK the top version set to [Black] is listed as DeviceN Black—again all of the gray values are on the Black plate unchanged. The blue version in the middle has a process color assigned and could have values on any of the 4 plates, so it is listed as Indexed DeviceN (256 shades of the blue color)

If I Export to a CMYK Destination that conflicts with DocumentCMYK, I get Indexed ICCBasedCMYK indicating that the original gray values have been converted to 4-color CMYK

An Export to a Grayscale Destination would list the top version as DeviceGray and the colored versions as ICCBaseGray indicating the conversion of the CMYK colored images to the chosen gray space


So is there any loss in this conversion and should I leave the images now as DeviceN or should I correct something?
The DeviceN color space isn’t changing the original gray values—there’s been no conversion of the output gray values, so assuming that’s what you are expecting, you don‘t have to worry.
then I converted them to CMYK Black (Black Ink) and I placed them in Indesign
Just to be clear a conversion into a Black Ink profile converts the image to Grayscale—Black Ink profiles are Gray ICC profiles