Learn German: Es ist schade, dass unser Freund nicht mitkommt. - It is a pity that our friend is not coming along.

The word dass (that) is a subordinating conjunction. It introduces a dependent clause, which means it forces the conjugated verb to move from its normal second position to the very end of the clause.

I thought mitkommen was a separable verb. Why isn't it split into kommt ... mit here?

You are right, in a normal main clause you would say Er kommt nicht mit. However, because dass pushes the conjugated verb (kommt) to the end of the sentence, it crashes right back into its prefix (mit-). Whenever a separable verb is forced to the end of a subordinate clause, it merges back into one single word.

Why is it unser Freund and not unseren Freund?

Even though it comes later in the sentence, unser Freund is the subject of the dass clause because he is the one not coming along. Subjects are always in the nominative case. For masculine words like Freund in the nominative case, possessives like unser take no extra endings.

The translation says "a pity". Why is there no word for "a" in the German sentence?

In English, "pity" is a noun, but the German word schade functions as an adjective here. That is why it is written with a lowercase letter and does not use an article like ein. You are essentially saying that it is unfortunate, rather than it is a pity.