I am all for second chances, but not without cost. Without any actual threat or chance of losing, challenges become arbitrary. There is no sense of accomplishment if from the very start there was no way to not win.
So if a character would die in combat, there should at least be a proper price paid to charon to bring you back over the river styx.
That can be shorthanded by a bit of a stat penalty, loss of magic item or whatever, but I find that a bit of a wasted chance. The characters invading the underworld to bring back a fallen friend has plot potential in itself, and is sufficently epic.
I don't do roll-or-die, but I certainly do roll-or-consequence. In a game like this, death is not the final frontier, but failing should always be possible.
That's what irked me so much about the sphinx riddle. It doesn't matter wether or not it's a good or bad riddle, what matters is that the player answered "the bay-12 forum", and argueably, that's a stretch. The sphinx, which is supposed to be a guardian placed by the gods, whom was constantly licking her lips and clearly had interest in eating a PC or two just kinda rolled over and gave the players a big amount of leeway. There was never a pressure to find the right answer, just something that sorta fit was good enough. Ra was even more of a pushover, swayed from his point of view so easily. I guess Elf didn't want to kill his own GMPC, but again, there was never a chance of failure, it's simply lacking any suspense when the outcome is already clear.
Note how the best part of Madoka was when what appeared to be a lighthearted story suddenly turned super grimdark. Characters need challenge and consequences for not being able to overcome them. It makes eventual victory all the sweeter, because you will have earned it, against the odds.