Primarily, I have only seen this with players on forums. The closest I have seen this was at a convention with a LARP. There was a player that was known to cry and throw tantrums when her character was killed. She had been thrown out of tabletops and non-con LARPs for this behavior. We tried to ban her from the LARP, but the organizers told we had to let her in.How have you as GMs handled this expectation?
When tried to warn her that her character would most likely be killed if she continued with her course of action. She continued rather than listening and died. Sure enough the tears and tantrum came bringing the entire game of 40 players to a halt!
We got the LARP organizer, who apologized to us and banned her from further LARPs run by us.
While your players are not to her extreme, I would not have patience for players like them. Assuming they got through my initial screening, I will sit and talk with them the first time the behavior manifests. I will tell them that their expectations are not, in my opinion, realistic and are antithetical to the style of play for the games I run. If they continue with that attitude, I will remove them from the group. Life is too short.