If you are engaged in a grapple you loose you Dex bonus to defense versus all opponents except the opponent(s) you are grappling. This applies regardless of weither or not you initiated the grapple.
Note that if a monster has the Improved Grab ability, it can grab and grapple as normal, but the monster is not considered grappled while it holds the opponent. It still threatens adjacent squares and retains its Dex bonus. (See p. 296 in the Atlantean Edition.)
This is different from the SRD where a creature with Improved Grab has to take a -20 penalty to the grapple check to avoid being considered grappled itself.
In other words, creatures with Improved Grab in the Conan RPG are somewhat nastier than their D&D counterparts.