For most games, the real consequence of failure in a game is being forced to repeat what just happened. And getting caught in a Groundhog Day-esque situation that repeats once every few minutes suuuuucks.
It’s even worse when a failure causes your character to lose stuff. That’s even more time wasted, in that the time and effort taken to get the thing is gone.
Paint the rainbow on my proud carebear chest if you must. I just want a place to escape to for a little while, a place that doesn’t frustrate the shit out of me.