I think saying 'you have to be careful when you design a lethal skill challenge' is stating the obvious.
Do you not have to be careful when you design a lethal combat encounter?
Didi anyone seriously think the OP was suggesting: 'Oops that's three fails on that diplomatic skill challenge with the king. Sorry, he has you sent to the dungeon where a man in a hood cuts off you heads with an axe! Who wants pizza?'
I may not have been entirely clear in my point, in which case, I apologize. My point wasn't that the challenge needs to be carefully designed (because that is, as you say, obvious). My point is that you need to be careful in making sure the party understands the stakes.
Sure, combat encounters need to be carefully designed, but its well accepted that any combat could result in PC death or even a tpk. While its true that a lot of DMs try to reserve PC deaths for dramatically important combats, its still understood and accepted (generally) that even the relatively unimportant fight is capable of killing someone. I don't; however, think that most players would necessarily anticipate that a skill challenge could result in death. Heck, the official advice from WotC IIRC is that failure in a skill challenge shouldn't grind the adventure to a halt.
Now as I said, I think its fine to have death as a possible consequence, but I think you need to make sure that your party understands this. Using your king example, most players would anticipate that failing that skill challenge would result in them simply not getting help, maybe even being imprisoned. However, with the right lead up, you could make it so that failure means that the king
orders their deaths and that they then become persona non grata in the kingdom (assuming they escape).
Likewise, you could design a skill challenge around disabling a particularly lethal trap wherein failure means the trap goes off -- quite possibly killing those near it. Again though, I think the key is to make sure the party understands that messing with the trap could do more than just merely damaging them, that it actually has the ability to outright kill them, etc.
As I said, my point is merely that I believe that the vast majority of players will not realize that death is a possibility in a skill challenge unless you build up to it, whereas, its generally understood that any combat can kill a PC.
As for the bard vs. fighter in combat, it really depends on how you define "effective". If you merely want to look at who can deal more damage and take more damage, then sure, the fighter wins. If you want to look at who helps the party achieve their goals, then its an equal contest in my opinion. The bard may not put up the sexy numbers in combat, but she's just as vital a piece of the party as the rest when the fighting starts.