How do I know what progress will be lost by changing my quest?

If you leave a game and rejoin without changing quest, you will resume at your last "Checkpoint". If you change quest however, you will resume your quest at the last started quest, not at the last checkpoint (of the quest in progress). If you killed Kulle, and didn't deliver all the quests, when you then changed and rejoined you'd have to do Kulle over again, you'd start on the last quest step before killing him.

I think there probably was one more NPC to talk to in your case, so that the quest didn't "complete" but just got "updated".

For example, if you start on Lord of Lies and fail on Belial, and leave game. If you then resume, you should be starting just outside the throne, and not have to kill the nasties up the stairs first. If you changed quest and then resumed on this one, you'd start out in the city and have to fight up again.

Hope this cleared something for you :)

PS: Using the checkpoint reached is useful for farming, for example Sarkoth in act1 is easily farmed if you do the quest to kill the wretched mothers, then leave and resume just after the checkpoint on the north side of old ruins. You then leave, resume and backtrack past 2-4 mobs (one group), and check for the door being open.

Update As of patch 1.0.7 - When resuming a game, players will now be placed in town instead of at the last known checkpoint (a portal will be available to take you to your last known checkpoint, if desired)