Yeah, this was my problem. I wasn't aware I can be attacked by more advanced enemy (or that I can even be attacked), so, even when I had the option to go after shard with advanced units I tried to get older, not so important, things first instead. (like right before I was attacked, I could attack several shards with rank 2 units and I captured one with haunted cemetary, journeyman jeweler and one similar building instead)

I've beaten Doh-Gor this time.. I didn't see any bonus, though. Expert and still no lost shards, onward to victory!

You need to KILL Doh-Gor not beat him on a shard.
To do that you need to have conquered enough shards to gain the ability to sever another master's connection to their world. you then attack their world, you have a shard battle where the defender has significant advantages. If you win their connection to their world is severed and demons drag them off to limbo, the demons also ravage the world as well such that you are only able to salvage a bit of it (aka, a single shard).

I found the rewards to be normal shard conquest rewards except I seem to have gotten somewhat more energy per turn then usual from those.

Exceptional rewards are:
Doh-Gor - leaves amulet (delay demon army & optionally get perma alliance with orcs)
Stenriya - required for one of the victory conditions
Ul-dagan - required for one of the victory conditions

I've attacked Doh-Gor in his shard, but I started in a swamp, surrounded by orcs and brigands (mainly in swamps too), with terrible income, orcs rebel, I've lost already 2 times. Is it always like this or did I have just bad luck in shard generation? The second time the shard was the same.. unfortunately.