Oh, so... because you don't think they are roleplaying their characters "correctly"?
Firefighters walk into burning buildings. They are bold. They lead lives with a lot of risk. That risk is extremely calculated. A reckless firefighter is a dead firefighter... possibly several dead firefighters. I see no reason why that doesn't hold for heroes, criminals, or anyone else in a high-risk profession.
Now, if you opened the campaign with a Session Zero that said, "I want this to be a campaign with lots of poorly considered actions - high action, high drama, lots of consequences!" and the players then failed to meet that, then you might have a point. Lacking that, though, the character's behavior is the one thing the players get to control. I don't think it is appropriate for the GM to say, "You aren't playing your character correctly, they should behave differently."
I'm not saying anyone is playing their characters incorrectly. I think I was clear that this is my view in general...and yes, it's my preference. And I never once advocated for the GM to tell people they're playing them incorrectly, so I don't know where you got that. If I think to myself "wow, Mike's really playing his barbarian conservatively" it doesn't mean I'm going to tell him so, or demand that he change how he's playing.
Your fireman analogy doesn't work because there's no player controlling the fireman in real life, and the conflict I'm pointing out comes from character and player outlooks. If the player of a fireman character won't rush into the building because he's worried about his hit points.....then that would be more along the lines of what I'm talking about.
I like when the bold and risky lives of the characters is kind of matched by a bold and risky play style. I'll add the general caveat that "not at all times and not in all ways, and ultimately it's up to the player" if needed. And I absolutely do discuss this with my players. Not in the way you've proposed, but we're very open about discussing the approach to play, and the desires of play, and so on , for all involved.
You're taking a general comment about a preference for players to play boldly and accept the consequences as some kind of badwrongfun nonsense, and it's simply not the case.