In our 4E test week no pc died, either. However, we had three leaders (warlord, cleric, bard), so that didn't surprise me.
We played through the first part of the Ashen Crown adventure module (intended for a level 2 party) with a party of seven 1st level pcs so I typically only added a single monster to encounters.
The 'boss' encounter in Ashurta's tomb was a close thing, though (again, no big surprise with an encounter level of n+3). Only great party teamplay prevented the warlord to die by failing her third death saving throw at one point. After the fight every healing resource had been spent, and everyone still standing was bloodied. It was also a good thing they had an extended rest before the fight.
What really intriguied me, was that almost every encounter _seemed_ close. I think someone went down in every fight at some point. Ambush situations were definitely very dangerous, as was misinterpreting who's the real threat in an encounter.
It never felt as if it was just a 1st level party - which I liked a lot. On a tactical level those fights were easily on par with our 3E 13th level party.
I wouldn't exactly call 1st level 4E chars fragile. Sure, they drop easily, but they certainly don't die easily.