When we watch/read . . . Conan, WE know that the character will not die and has plot immunity, but the character doesn't know that! When reading/watching, THAT'S what we buy into--the peril from the character's point of view.
If you watch the movie "Conan the Barbarian" for the first time, you're not entirely sure Conan will survive (it was before Hollywood was all sequels), and if you think all the PC's in his party will survive . . .