I wouldn't coddle them. 1st level is the time to learn of the lethality level of the game you are playing. I would keep the potentially lethal straight cliff, but explicitly state the consequences of a failed Climb check. ("Remember, if you miss the DC, you lose hold of the rope and begin falling")
This should prod them into thinking of easier ways to scale down the cliff. Numerous suggestions have already been given above. If they choose to tempt death, that is their own choice. The obstacle should get them thinking imaginatively, which is sort of the point of the whole game to begin with.
That said, I wouldn't box yourself in with the cliff as the only route to "adventure completion" (or motivation completion). Sometimes the character group quits and it's better that your game keeps going.
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Off-Topic
This reminds of playing 1st level, which I think is more enjoyable compared to the higher levels. I know experienced players often grouse of having to face low level challenges again. But your example is exactly the type of thing I see "experienced" players trip up on frequently enough. Actual experienced groups will be flying through these types of challenges without a problem moving on to deadlier things quickly. For those who are new, these difficulties present the fundamental learning process of the game. (i.e. "think first", "don't split the party", "check then doublecheck", etc.) So yeah. I wouldn't hold back at the beginning, but do give newbies fair warning before they do something risky. It's far easier losing a character at 1st level than at 5 or 10 when the DM decides to let the real danger kick in.
- From the "Best level for a TPK?: 1st" playbook.