Not necessarily. Your opponent can do several possible things, aside from discarding/capturing your hero:
He can add another Evil Character to the battle using Unknown Nation, Madness, Gates of Hell, The Site Guard Lost Soul (basically any special ability that can be activated when holder chooses during a rescue attempt that allows an EC to be added).
He could also play Burial/Son of God on the LS you just retrieved.
But if there is no ability that says he can add an EC, not way for him to get rid of your hero, and no way for him to discard/rescue the Lost Soul, then yes, you would get the soul for "free".
