That's not entirely accurate, yes a copy of the Pokémon does remain on the HGSS savefile, but there is essentially a partial clone contained in the Pokewalker data itself. You can do a key combo at the Pokewalker menu in HGSS to "recall a Pokémon" if your Pokewalker is lost or broken, because the entire "original" Pokémon is still in a hidden slot on the savefile, but there is something on the Pokewalker more than just the species index value.
If you test the Pokewalker using Spinda, you can see that the spot pattern is retained, as are form differences with gender and such for other species.
Spinda having the correct spots is important, because that means the PID value is also retained by Pokewalker, as that is required to render accurate spot patterns.
If one were to dump the RAM of the Pokewalker and recover that PID value, it could be used to reconstruct the Pokémon's Nature, Gender, IVs, etc. I'm unsure if Nickname, Trainer ID, Secret ID, Trainer Name, moves, level, etc. are also all retained, but the PID alone would be plenty to go off of.
It looks like some other communities have done a significant amount of digging into Pokewalker hacking, like these two for example, they appear to have made some headway: http://dmitry.gr/?r=05.Projects&proj=28. pokewalker https://github.com/mamba2410/reverse-pokewalker
It would take some significant effort and some digging to find it, but it's in there... Somewhere.