ExploderWizard
Hero
There are times I think players of many different styles get into D&D combat and suddenly spend too much effort thinking of the game as a game to be won or lost, live or die, rather than as a role playing game inspired by a literary genre with genre conventions to use. The Villains and Vigilantes reference highlights one genre, 4 color superhero, that has some pretty strong conventions that ameliorate setbacks and other problems that occur when overmatched in combat or when the dice turn against the players. What supervillain ever simply kills the hero he defeats? Hardly any. They'd rather capture the hero so they can monologue at them, put them in death traps, show they're the alpha male, whatever they want to do. And that gives the heroes the opportunities they need to escape and turn the tables on the villains.
Fantasy has similar conventions. In the Conan movie, did Thulsa Doom simply off Conan when he found him infiltrating in disguise? He did not. He monologued, showed off his power, and then condemned Conan to a slow death that enabled his companions to find and rescue him. Even in the bloody Song of Ice and Fire, killing off protagonists isn't always straightforward. Ned Stark could have been allowed to take the Black. Jamie Lannister is captured and, in effect, ransomed despite a lot of people wanting him dead. Later, he's maimed rather than outright killed, enabling him to escape and live on. And characters who don't follow conventions have been paying some pretty steep prices for their perfidity. Red Weddings, public executions of just men, and just being mountainous brutes all have costs that are being paid as the series goes on.
Let the players know that you'll use reasonable genre conventions and that all isn't lost simply because the last hit points keeping PCs conscious are whittled away.
There are also practical reasons to capture instead of kill in some cases. The possibility of ransom,or the old idea that you can shear a sheep many times but but only skin it once would be applicable to bandits who managed to overcome the PCs. Game events feel more natural if there are reasons for doing something that would make sense to someone within the setting.