Settings where the main characters cannot die are inherently boring to me anyway. Of course I don't want them to die, but if the characters are immune to the consequences of their actions, it breaks all the tension. Luke Skywalker could not die. Han Solo could not die. Leia Organa could not die. Star Wars, as an example, is a setting where the characters simply cannot die. For me, there was no tension in the Battle of Hoth, for example, because Luke was literally immune to the possibility of death. George R.R. Martin understands that characters who are immune to death are boring in some way and has made sure that you are well aware that no one is safe in his setting just because you like them. Being a main character is not safety. Because of this, when a character you like gets into a dangerous situation, you absolutely feel that tension. Are they about to die? Martin has killed better people for less. That's excitement. That's engagement. That's good storytelling.