He didnt leave because he was lost. He left for the sole purpose of understanding the criminal mind. On the other hand, yes, he didnt know how exactly to use this knowledge for his cause.
That's what I meant by "lost". He leaves because Falcone just rubbed salt in the wound by telling him he would always fear criminals because he didn't know who they were. He is lost because in spite of his grief over the loss of his parentsm he doesn't know what to do at all. Kill Chill in retribution? Face Falcone in a desperate attempt? Join criminals to understand how they live and work, what drives them, what their weaknesses are?
He just doesn't know, he's lost in his grief and finds no way to channel it. That's the difference I was talking about. In the comics, from what is said, Bruce never loses sight of what he wants to do. From the start he chooses to study criminal sciences, train with the best fighters in the world, hone his body and mind to the point that his only limits are his humanity. It's like the only thing he needs is the symbol he will dress as, but from the start, he knows that he will be someone who goes out at night and protects the innocent.
I think this is not the case at all in Batman Begins. The movie showed a different Bruce, who first chose self-destruction as a response to the grief and unfairness he felt. He doesn't travel abroad to learn from the best fighters, he travels abroad to join criminals (yes, he's trying to understand them, but the fact is you don't have to live like a criminal to understand them), he doesn't study criminal sciences, he even gives up on his studies...
This is not the same at all. Comics Bruce is always focused on one clear objective, he's driven by this objective. Batman Begins Bruce is lost, cause he doesn't know how he can fight this grief. It is only through his training with the League of Shadows that he gets the idea of Batman (He clearly didn't know he would use "theatricality and deception" before Ducard taught him that they were "powerful agents", he was a skilled brawler but he was far from a good fighter until Ducard taught him to fight properly, etc...)
That's why ultimately I think that the main focus of Nolan's Batman is waking people up, or as he explains himself, "shake people out of their apathy, show them their city doesn't belong to the criminals and the corrupt"...
Nolan's Bruce doesn't NEED Batman or, in any case, he doesn't need him YET. Batman is just a means to achieve his goal in the films, while in the comics, from the very day his parents are murdered, he channels all his grief into this persona he's training to become.
And that's why I'd really like Rachel to die in TDK, so that Bruce can lose all the things that could convince him to give up the mantle, and to add a little grief to the character who now already has his crime-fighting persona to channel it.
In other words, I wish TDK will show us why Bruce totally gives up on his Bruce Wayne persona as his real "himself", and why Batman becomes who he really is instead of being just the way he found to fight crime.