Then the opponent still looses his Dex mod against opponents outside the grapple plus he takes a further -4 penalty to DV against opponents outside the grapple. He still gets his full DV against the person pinning him.
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.