I would say there are a lot of things that make RPGs come alive. One of which is indeed risk. But there are lots of different things to risk.
Look at Call of Cthulhu and its risk of characters’ sanity and how that changes the feel if a game versus one where the only risk is PC death. The game feels different. Look at Delta Green, where you watch as an agent’s connections to their loved ones bear the brunt of their struggles against the mythos. Look at any number of other games where concepts of identity or belief are at risk during play. Where the PCs take actual consequences from their choices along the way and need to press on anyway.
Death is far from the only interesting consequence in an RPG. At times, I’d say it’s the end of consequence.