Every single one of those characters that you mention behave as if they expect being injured or killed to be a real possibility, that requires a real & plausible chance of death or meaningful injury☆ because most players are not paid actors putting on a for profit production made for passive viewer consumption like critical roll.The thing is (building off your statement, not reacting to it), it's exciting for reasons unrelated to death.
Are the Indiana Jones movies not exciting? I would say most people think they are. Yet I doubt anyone genuinely believes that Indiana Jones stories can only be exciting if there's always a 10% chance that Indy just straight up dies to a stray Nazi bullet.
I see Indiana Jones, and James Bond, and Doc Savage...and yes, Conan the Barbarian...as great examples of the kind of excitement I want from roleplaying.
For that sort of excitement, death is like throwing wet sand on a perfectly ordinary campfire. It's dead, and no amount of adding new logs is going to bring the fire back.
If Conan died midway through the first story to a random spear as a way to show that ~AnYoNe CaN dIe~, all that would have meant is nobody would even know about Conan today.
You're seeing the story of a legend coming to life, except it's your legend! That is so incredibly awesome! But nobody tells the story of a would-be legend who went out like a chump to a kobold spear after one successful sewer-rat hunt. Because that just isn't an interesting story to tell.
Not one bit of what I just said implies or requires that players get everything they want. Far from it! When you aren't constantly pulling back from engagement because your very ability to engage could be ripped away from you permanently, suddenly all sorts of moves that might have been totally unacceptable BS are now perfectly fine. Having to retrieve your own soul from the Ten Kings of Yomi? Awesome. Having to storm the Demon Lord's Palace to break the infernal contract keeping your friend bound to hell for their second death? HELL YES. Doing an under-the-table deal with a deity who needs plausible deniability when you need a quickie resurrection? Inject it into my veins. These are the stories that raise up and transform characters, and I have NO idea where it will eventually end up. That is absolutely the most amazing feeling.
James Bond is never going to die on camera. That would be a complete waste of a great franchise. Instead, the stakes are never "Will Bond survive?!" They are "What will Bond have to risk to succeed? What price will he pay?"
And its not like he's never paid prices. His wife was killed off dead. That changed him, altered his course, and gave us a multi-actor-spanning character development arc.
Or consider Doctor Who. They can "die" without truly dying. It's still a sacrifice, because (certain shenanigans aside), once an incarnation is dead, they're dead, but the Doctor marches on. Total death isn't on the table, but loss and hardship still are.
That's what the stakes are. That's what the joy is. To find out what horrors and joys and triumphs and sorrows you'll face, and how they'll change you, and how you'll change them and others.
What can change the nature of a man?
The difference between the actions choices & behavior of a player who knows their PC could plausibly die & a player who is certain that death is implausible or flat out impossible is perfectly demonstrated by Invincible & Omni Man vrs the Flaxans in the spoiler'd clip below.
Invincible is in blue & yellow
Omniman is in grey & red.
Omniman is in grey & red.
Things like the extreme & excessive healing power creep/risk mitigation in 5e are very much in support of misusing those two not at all interchangeable verbs.
☆ some systems have other elements to fear before death(ie fate's consequence slots), d&d just has death now but hit point loss level drain & attribute damage were once things of concern in past editions too