I'm learning about mechanical energy from Kleppner and Kolenkow (second edition), and in Chapter 5 (section 5.10), they introduce the notion of conservation of energy and connect it to the Einstein relation $E = mc^2$. Kleppner and Kolenkow give the following example:
In the 1930s, experimenters were able to measure nuclear masses with enough accuracy to show that the energy released in a nuclear reaction agrees with the known mass difference $\Delta m$ according to $\Delta E = \Delta mc^2$. For example, an atom of radium-226 spontaneously emits an $\alpha$-ray (a nucleus of helium-4) having a kinetic energy of $4.78$ MeV, leaving a residual nucleus of radon-222: $$ ^{226}\mathrm{Ra} \to ^{222}\mathrm{Rn} + ^4\mathrm{He} $$ The difference between the initial mass $^{226}\mathrm{Ra}$ and the final masses $^{222}\mathrm{Rn}$ plus $^4\mathrm{He}$ is $8.80 \times 10^{-30}$ kg and the mass energy accounts closely for the kinetic energy of the $\alpha$-ray plus the small kinetic energy of the recoiling $^{222}\mathrm{Rn}$ nucleus.
I've only started learning about this stuff recently, so my intuition is relatively limited, but this seems really weird to me. The obvious question to me is, where does the mass go? I can accept that the mass gets converted to mechanical energy, but what part of the atoms have lost mass? The number of protons and neutrons are the same, and assuming the charge of the atoms is $0$ on both sides, the number of electrons should be the same as well, so do the protons/neutrons or other particles have less mass after the $\alpha$-particle is emitted?