The Dutchess Four Departure has lost comm instructions which read, "If
radio contact is not established/lost for more than two minutes after
departing, proceed on course and climb to 5000 feet. Ten minutes after
departure, climb to requested altitude/flight level".

Let's say my clearance is "Cleared to HPN via Dutchess Four, V157,
HAARP, direct. Maintain 3000, expect 4000 after 10". If I go lost
comm, do they expect me to climb to 5000, stay there for 10 minutes,
then descend back down to 4000? Or stop my climb at 4000? Or climb to
5000 and stay there (which would presumably leave me WAFDOF).

I would say that the altitudes you were issued constitute an amendment to the
Dutchess Four clearance, so I'd stop at 3000, intercept V157, then climb to
4000 10 minutes after takeoff. If I was nervous about terrain, then I'd use
my emergency authority to go to whatever altitude I felt was necessary, and
then back to 4000 once established on V157.

Related question: looking at the approach plates for POU, I see that the
VOR/DME RNAV or GPS RWY 6 shows no MSA. Does anyone know why? All the other
approaches to POU show an MSA circle.

Barry