Now this is actually a very interesting question, because you might think you have enough proof in the text to question whether Leila does actually suffer a loss of innocence. Note the way in which, although the words of the old man severely impact her, just a few minutes later she is dancing away again as if nothing had happened and does not even remember the old man when she bumps into the old man. Although his words are definitely important, they seem to leave no lasting impact. Note the way that Leila feels she will have to leave the ball, but then quickly is swept away once more by the magic of it:
She would have to dance, out of politness, until she could find Meg. Very stiffly she walked into the middle; very haughtily she put her hand on his sleeve. But in one minute, in one turn, her feet glided, glided. The lights, the azaleas, the dresses, the pink paces, the velvet chairs, all became one beautiful flying wheel.
Normally, when we talk about the theme of loss of innocence, it is associated with some kind of permanent change that the protagonist suffers, a change that makes them older, wiser and maturer. Here we see that although Leila is initially effected by the splash of reality she is given, and wants to stop dancing, this is just temporary. The way she forgets the old man and gets enraptured once more by the ball suggests that this story is not about the loss of innocence whatsoever.