Learn English – “Not bad at all” vs. “Not at all bad”

1. "All is not lost" does not suggest that nothing is lost. It is said to counter the statement or belief that everything is lost, despite appearances to the contrary. It expresses exactly the meaning you say you want to convey, i.e., "at least one thing is not lost."

2. "Not all is lost" is simply another, more emphatic way of saying the other. It emphasizes the negative and is a stronger counter to any contrary assertions that have been made.

That's the meat of the matter; now to the seasoning: No. 1 can also seem more optimistic, and may be used to suggest that victory is in fact possible. Similarly, No. 2 may sometimes be used in a bitter, pessimistic way to point up how little is left. It may mean that everything of importance has been lost, but there may still exist a consolation prize, meager though it may be. "Our house burned to the ground, but at least the dog house remained untouched," one might say ruefully. "You see? Not all is lost."

No, the order "Why do not...?" is no longer grammatical in contemporary English.